When you just unplug a drive from the USB port, you get an error message. It warns you that it was not safely removed. That's not a smart thing to do!

Before you unplug the drive, close all programs using it, click the Safely Remove Hardware icon (the green arrow one) in the tray, and choose the drive from the menu. You'll receive a message saying it's ok to unplug it.

Data loss isn't very likely with a thumb drive, but external hard drives are a different story. Windows stores information in memory and writes the data to the drive later. It is not permanently stored until it's actually written. Unplug the drive before the data is written, and you lose it.