In my experience, neither Windows XP nor Windows 7 had any corruption from improper shutdown. That's not saying it can't happen, or that Linux is not more vulnerable to it.
I just spent over an hour dealing with just such a problem for a friend (Windows 7). The power went *blink*, and that was it. Windows would fail to boot up. Given the time and symptoms, I speculate that updates were being installed at the time of the unexpected shutdown.
To be fair, my computer was writing files at the time, and came back just fine. Typically, NTFS finds the last coherent state in the journal, gets rid of newer junk, flushes the journal, and then everything is peachy. You need to be writing just the wrong thing at that time to have a real problem, but it can and does screw things up.
Linux, running EXT3, is
extremely vulnerable to bad shutdowns. I used to use JFS for this reason. EXT4, however, has been solid, IME.