Tosh,
There is no problem in leaving the drive connected whatsoever. I think my maxtor has been connected for around 18 months now.
I generally leave my machine running for a number of reasons - so all the drives will be spinning most of the time.
The biggest stress on a hard drive is on it's spin up - that is also when it will also draw the most power (If you observe a raid array it will start the disks one by one so as not to overload the PSU). A hard disk that is left spinning will wear out slower than a hard disk that is constantly being stopped and started.
If your machine is stopped and started regularly you may wish to leave the drive disconnected until you require it so the wear rate is different from the local disk - but there is no real issue is leaving an external disk connected.