Using the "eject" option ensures that the info you copied to the drive has in fact been written
Willie is nearly correct - in fact it is a "Windows" issue, rather than a hardware issue and dates from the days before USB sticks and the like.
Windows is programmed to hold back on using the write cache if something else is going on i.e printing a document etc. Therefore if you blindly pull the plug, there is no guarantee that the data has actually been written to the drive as the cache has not been cleared. If you are writing to a hard drive, it prevents system bottlenecks and "improves" performance, all without the user being aware or needing to intervene (until someone drops in a USB memory stick and then Microsoft's theory starts to fall apart).
Now, I never suffered this problem, right up until the point where it actually mattered - taking a presentation to a client
Luckily, I am also paranoid, so I had burnt said presnetation to CD.
However, now I always use the eject hardware option.
Regards,
Shuttlebus