This is one of those questions that has a short answer and a long answer. The short answer is this: you should probably always eject a drive before removing it, even if the context menu doesn't have an eject option.
the long answer is this: Obviously, yanking out a drive while it's being written to could corrupt the data. However, even if the drive isn't actively being written to, you could still corrupt the data. Windows has a few precautions in place for preventing data loss. However, the write cache isn't the only thing that can cause data loss.
Have you ever tried to eject a drive and gotten a "file is in use" error? Sometimes there's something going on in the background you don't know about, or sometimes a program is just being silly and has still locked a file on the drive even if it isn't using it. If you were to yank it out during one of these situations, you could still cause data loss. Ejecting it will warn you of the situation, and let you close the program in question (or use something like previously mentioned Unlocker to unlock the in-use file).P
In the end, there's no reason not to eject your drives, and doing so will ensure your data is uber-safe. Windows users may be less likely to experience issues due to the way Windows handles removable drives, but they aren't 100% immune. Ejecting the drive is a great habit to get into, since without it, you wouldn't always know if it were safe to remove or not.P
