"If you unplug a storage device or removable drive from your computer while it's transferring or saving information, you might risk losing some information. Windows provides a way to help you safely remove such devices.
Most USB devices can safely be unplugged and removed. When unplugging storage devices, such as USB flash drives or external hard drives, make sure that the computer has finished saving any information to the device before removing it. If the device has a small light that shows when it's use, wait a few seconds after the light has finished flashing before unplugging it.
If you see the Safely Remove Hardware icon in the notification area, at the far right of the taskbar, you can use this as an indication that your devices have finished all operations in progress and are ready to be removed. If you don't see the Safely Remove Hardware icon, click the Show hidden icons button to display all icons in the notification area."
Some of the data is cached in RAM, and if you just suddenly disconnect you may corrupt the data before/as it is written to the USB drive. You can get away with just unplugging it sometimes, but sooner or later the odds will catch up with you.