Sleep is protected against power failures as well. What messes up hard drives and USB drives is write caching.
memory -> hard drive cache -> hard drive platter
Suppose you are working in MS Word and you save the document. You did the proper save procedure and Windows says it saved. Suddenly there is a power failure and your computer shuts off. Your Word document might have been destroyed because it was written to the hard drive cache and the drive lost power before it was able to write from the cache to the platter. This same issue has messed up a lot of USB thumb drives. Instead of writing to the drive immediately, the document is cached. The person pulls the drive out before the cache writes to disk. As far as the OS knows, it was saved and all of the data is there. It will only give an error when someone tries to open the file and Word says the file is garbage.
Sleep avoids this problem by clearing the cache before going to sleep. You can put the computer to sleep then pull the plug. It will say "hey you shouldn't have done that" but it didn't actually destroy anything. That Word document you saved before going to sleep is properly saved to the platter.