Any type of hardware failure can cause odd corruptions to occur. Also buggy drivers can wreak havoc on a system since they run in kernel mode, pretty much anything on your system is fair game. If you're lucky it'll just cause the system to BSOD but if you're unlucky it'll silently corrupt stuff in the background until it hits something important and then causes a BSOD.
Also uncleanly unmounting a filesystem can cause data to be lost, i.e. unplugging a Firewire/USB drive without going through the unplug hardware thing or powering off the box without shutting down properly.