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I always eject (unmount) the volume, both in OS X and also in Windows XP. However, I noticed that the majority of my colleagues just unplug the drive.
When we work together at my PC and they reach for the drive, I say "Hold on a sec, let me eject this" and they give me the deer in the headlights look.
So, is the "eject" or "unmount" necessary or not?
of course, we assume there is no read/write operation going on at the moment.
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Many Windows users have bought into a popular myth that volumes don't have to be unmounted before device-removal.
Those people lose a lot of data.
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[spoiler=it's not wise to play russian roulette in the bedroom , either]

[/spoiler]
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I've never lost any data just unplugging...never. In windows I unplug, in OS X, most of the time I eject.
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Doc wrote:
Many Windows users have bought into a popular myth that volumes don't have to be unmounted before device-removal.
Those people lose a lot of data.
Not only I lost data my two month old PC hung, froze and crashed! Not burnt yet.
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I recall an Apple Seminar I went to and the Apple dude (yes, Apple employee) happily unplugged/plugged in repeatedly a drive that was being written to. It was firewire, but this question made me think of it.
I think it's a sin that Apple does not have an eject button on iPods, though. Or, just do away with the whole 'must eject' architecture.
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I tend to unmount properly because the warning messages that data may have been lost when you plug it in the next time and various other error messages can be a PITA.
Windows and Mac.
I've never actually 'lost' data.
Every drive I've had, in XP when unmounting, XP turns the drive light off.
Vista doesn't (there may be a user setting to change it, but default is no light off when safe to remove).
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I try, but about half the time the Finder doesn't want to eject the thumb drive from the desktop. Then I just yank it. Never had a problem...
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I *usually* eject properly. Sometimes if I'm lazy and I know there is no read/write going on I'll just pull it out. I did lose data once inadvertently disconnecting a FW400 card reader during read. I was copying photos while driving (yeah, real brilliant) and was switching cards. I eventually recovered the images with some sort of photo rescue program but it was a PITA.
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I get the Windows delayed write error about once in a dozen times even if I select unmount device in the System Tray, and then wait a couple of seconds after the OS says it is okay to remove it. The Maxtor and Seagate USB drives that spin down all the time are the worst offenders but it happens with flash thumb drives too.