In reality: most likely nothing will happen as long as you have write caching turned off for the drive mapping that the ipod creates in explorer. If write caching is on you risk windows delaying any file moves or copies that you told it to do until a later time, and pulling the power could cause data or file system corruption.
To check and see whether or not write caching is turned on:
right click on the drive (example: local disk (C:)) and hit properties.
Go to the hardware tab
Select your device from the list and hit properties again
Go to the policies tab
There is a tick box to enable/disable write caching.
In Theory:
There are 2 problems that can happen when you don't safely remove usb hardware before unplugging it.
1) you can cause issues when you remove the usb plug from the computer or from the device, since 5v power will still be running through the wires and connectors of the cable, which can emit sparks when unplugged.
2) Actual hard drive devices (external HDDs, Ipod classics, etc. flash memory based devices this does not apply to) usually have a "rest" position for the magnetic arm/head that it returns to before power off. If power is pulled when the arm/head is not in the "rest" position this can cause data or filesystem corruption. The head will return to rest position a few seconds after read/write operations automatically as well.
Hopefully this answers your question.
