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That depends... it's not quite as simple as RainingLemur says.
If you use Windows XP, definitely be sure to "safely eject" first, and it'll tell you when/if it's OK. If you use Windows Vista or Windows 7, be sure to close any programs that might be using the Kindle (Calibre, etc), wait a second for the program to truly go away (even if you don't see it, it might still be runnning for a few seconds), then unplug the device.
If you use Linux, it depends on your distribution, too many to answer here.
And for MacOS I'm not sure...
The reason has to do with what's called a "write-behind cache". When a program (like Calibre) writes something to disk it can optionally go first to an area of RAM (the computer's memory) known as a cache. RAM is very fast, which allows the program to go back to interacting with you. Once the data is in RAM, the operating system (Windows, MacOS, etc) finds idle time when it's not busy directly servicing your needs and writes that data out to the much slower disk. Until that data is written out to disk, if you remove the disk or the computer loses power, the data is GONE, even if you thought that you saved it.
Windows XP used write-behind caching for removable media, thus the need to be sure that you eject the disk (or, in this case, Kindle internal storage) to tell Windows to write out anything that it's holding in cache. Windows 7, on the other hand, recognizes that it's a removable device and doesn't use the write-behind cache, and writes directly to the disk. Once the program thinks that it's done writing the data, it truly is on disk, so as long as your programs aren't writing to the disk (thus my suggestion to close them) you're OK to just unplug.
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