AFAIK Win XP contains some bits of code that try to allow for users disconnecting USB sticks without using 'safely remove' first. In earlier Windows versions you should ALWAYS use the feature to prevent problems.
What this means is that with XP you may not have any problems for 99% of the time. If you are a user who is careful with unplugging devices, who waits for a few seconds for example to allow the write to finish (watching the LED light on the stick and waiting for it to stop blinking is certainly a good thing to do), then you may never encounter problems. Using 'safely remove' you will be sure every time that it goes without problems.