OK the strict and sensible answer is NEVER EVER hotplug anything that isn't specifically hot pluggable. I've seen literally dozens of fried ports, especially parallel ports - however its much less common these days because these ports rarely get used.
Pretty much the only cable that is designed to be hot pluggable is USB.
Network Cable = No
Serial Port = Big no
Parallel Port = Big no
ps/2 = No
VGA/DVI = heck no
However I hotswap network cable all the time and not had a problem. Basically do it if you want, you probably wont get a problem but don't go crying if it breaks.
You can hot plug network cables... :-\ If you can't then we would have to shut our entire network at votech down when we was installing a new gigabit switch for my class. VGA, not a big worry, hundreds of people hot plug that, it's like saying you can't hot plug your headphones or digital out cables for audio.