notes from the field...Ive regularly seen USB keys have docs/spreadhseets/files saved to them, then with absolute wanton abandon, take the key out, transfer to other machine, insert key and find the file hasnt saved.... Ive reproduced this behaviour several times, dont know whether its related to OS versions or hardware but I do know choosing the "safely remove hardware" option works every time, so its what I do now in the office.
Cant say I've seen corruption on them from the fast withdrawal method but it wouldnt surprise me.