yes, i think it is bad for the HDDs, but not anything else...
if they are half-way through a write, then that file will be corrupt.
also, i am not up to shape with my HDD knowledge, but the head is held off the surface of the platter by air pressure. when the HDD is turned off, the heads, because of the springs, return to the "park" position. if the air holding the heads up runs out before they make it to park, the heads rub accross the disk platter....
^^ that may be complete non-sense, i think i remember reading it somewhere. feel free to correct me.