Lost two flash drives that way.
Interesting result, FS. I lost a drive once, but that was in a Windows 2000 client machine. It was wiped clean when I pulled it out. And that was after first stopping it correctly.
And I had a Windows 2000 Server hiccup once, too, come to think of it, when I failed to tell it I was pulling the drive. Had to reboot that one.
So far I have not lost anything in a Windows XP machine just pulling drives out. I have gotten a "delayed write / data might have been lost" error a time or two, even though I had waited for the flashy thingy to stop flashing. No damage to the drive in either case, just had to re-save what little data that was lost.
But I have never lost a drive or had to reboot a box that I remember.