In the days of early computers, shutting down, by pulling the power was an absolute no-no. You could do irrepairable damage to hard drives this way.
The newer operating systems, such as Windows XP (and beyond) deal with premature shutdown, by auto-recovering the data from temporary files. Applications, such as MS-Office Word are a good example. You don't lose data when you lose power.
However - don't do it. Shut the thing down properly. Just because it's not such a big deal these days, doesn't mean you shouldn't get into the habit of shutting it down correctly.
Computers in general are not designed to be turned off like that.
In theory, it can endanger your hard drives. If the head hits the disk, without parking properly, you can damage it permanently.