Is it really NOT ok to just yank out the USB thumb drive?

So as most of you know when you insert a USB memory thumb drive in the PC, youll get that little icon in the system tray (windows OSs) that you are supposed to click on to safely remove hardware before removing the drive. I never have, I just yank it out of the PC when finished, obviously ensuring its not in the middle of transferring data. Is there any reason why I shouldnt?



Also I bought a real tiny pico memory drive that doesnt take up anymore room on the key chain then a Photon Freedom. But a lot of PCs dont recognize it while others have no trouble. Any explanation for that? I have a now old 2 Gig Sandisk that I use at work and never have that problem.