You mean, disconnect/dismount, and you don't, not really.

USB Mass storage devices; USB Hard Drives if you like, need to be dismounted first to ensure there is no dataloss. Large volumes that are not locally connected are usually cached, which means data is held in a buffer prior to writing to the actual device. This ensures that writes can be achieved at steady rates, and accommodates any CRC errors that may occur. Disconnecting without flushing the cache could result in data loss. Furthermore, journalised file systems such as NTFS (of course, flash drives are rarely NTFS formatted), need to ensure that the journal is squared up and that any on-board cache memory is flushed, or else they'll have to execute the journal next time the volume is mounted. Not a problem if you're reconnecting to the same system, but a potentially file system damaging issue if you connect the volume to another PC.

Also, it's generally better to allow the device to decide when the USB connection is severed, so that it can do any preparations, notify any drivers, etc. By using Windows' disconnect option, it notifies the driver of a pending disconnection, and in some circumstances, powers it down. It wont cause the device any harm to just unplug it, it's just rather abrupt for the system. People may recall that Windows 2000 would yell at you about it. Windows XP doesn't though, it just grits its teeth and bares it.

I don't bother with any rigmerole personally, and just pull the device out. Some people religiously dismount devices, but not I. Maybe they know something I don't, but on the other hand, years of handling PCs has left me with the knowledge that they are not made of the same stuff as grandma's favorite china tea set.