In windows you are supposed to use the "Safely Eject" option as there could be data still being transferred and could potentially corrupt the data/disk but windows doesn't give you a popup or moan at you if you just pull out the USB.
The Mac on the other-hand likes to alert you if you unplug a USB stick as there could be something accessing it in the background (ie: if you were working on a word doc and didnt close the app down) it could corrupt the file and or the disk.
Ejecting the device on a Mac will also let you know if it is being used by another app etc
hope that helps