This is interesting. W2K doesn't have the write-cache-policy selection for removable-media drives like XP does, by default W2K does write-caching, and requires using the "Safely Remove Hardware" icon in the systray to stop the device before removal. In WinXP (at least from SP1 on, not sure about Gold), XP defaults to "Optimize for Quick Removal", which should mean that it doesn't do any write-caching to the drive, so you can remove it at any time. However, the number of times that I've read about problems with XP users doing that, makes me wonder somewhat. I think that I'm going to use the "Safely Remove Hardware" procedure myself in either OS, from now on.
One more annoying thing, if you are using Explorer.exe to copy/move files to/from the USB key, sometimes Explorer decides to leak an open file handle, and you simply *cannot* use the "Safely Remove Hardware", because it tells you that the device has open files. You either have to force-kill *all* instances of Explorer.exe (including the desktop user shell), or shutdown Windows entirely. I've seen this in both W2K SP2, W2K SP4, and I'm pretty-sure XP's Explorer.exe has the same leak too.
If you've "unsafely" removed your flash key - just once! - you should run some sort of flash-drive recovery/scanner software, to check and see if the filesystem is corrupted, or if that caused one of the sectors to get half-written and potentially appear physically bad. I would back up everything that you can off of the drive, and do a low-level wipe/write-zeros to it, and then re-create the filesystem (re-format). Further usage of the drive without doing that, can lead to futher dataloss.
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