Personally I have never had a problem with data loss in XP or Vista when simply pulling a USB stick out. The key factor is to make sure data is not being written to the disk when removing it.
I do reformat my USB devices to use NTFS tho, (which they typically are formated as FAT32 from the factory).
Alternately you will see an icon near your PC clock to safely remove a device from the system. Simply double click and select USB Mass Storage Devices and select the device by drive letter/model. Then pull the device.
(Edit to add): Optionally, make sure you have the device set to "Optimize for Quick Removal" in the device properties, under the device manager. This turns off caching of files (which is usually the default setting for removable devices).