I guess it depends on the situation,
from my personal experience with these computers is.. if it is a USB device is not tansmitting data back and forth.
Example: printers, scanner.
If you unplug or plug these devices when the computer is on.. all it will do is day new device and just reload the driver detail.
However if you are scanning and printing and unplug and keep plugging the devices while they are doing something that might hurt the USB port and the device, because you keep interrupting it.
The most constant thing that you will notice are Flash/Jump drives. If you keep unplugging and replugging while transfering data it can damage the flash drive.
"Device is not formatted. Do you wish to format now."
When you stop a device you are just telling the computer you are done with it and turn it off.
I have pulled the device without stopping it first...*on a windows 98 PC
and I have had no problems with the device as long as I exit all the applications that is using that device and making sure nothing is still running or using it.