I am (or was) in the same case. Let me tell you my story with details that might be useful. Excuse me in advance for the long post but I think in these cases, speaking about details, "the more the merrier":
I have a MacBook and recently bought a Western Digital My Book Studio intending to use it for TimeMachine and some clone backup (I use the free version of SuperDuper... got to partition the disk). I have the device connected via Firewire.
Anyway... I use to close the lid of the MacBook in order to get it to sleep. My surprise was that since the very first time using the external drive, it gives me the "Device Removal" Error when I wake the computer from sleep. It's supposed that this drive has some thing called "SmartPower" that automatically turns it on/off as the computer does, so anyone assumes that, of course, this would be without having to unmount the drive previously, right? But the Error makes the SmartPower feature useless... apparently.
The problem occurred every time I woke the MacBook from sleep. From the beginning I installed the DeviceManager software included with the drive, so I had few options left to try.
The thing is that I tried something and since then the error is no longer showing. I found this comment at some forum when I was "googling" for an answer and it gave me an idea:
After having to go around a year booting off an External HD, I've discovered that you don't need to do this with a FireWire HD. In my experience, you can even charge while it's unplugged. As long as you plug it back in before you wake from sleep there's no problem.
The idea was the next: I have the MacBook configured to ask for a password before waking from sleep and I noticed that I used to enter the key so fast after opening the lid that the external device was still waking up when I already got the OS working again. So, I tried to wait for the MyBook's LED Indicator to remain steady (ON) before I inserted the key, so that the device was already up and running before I got the MacBook OS (Leopard 10.5, by the way) working again. And, for my surprise, the error did not show anymore. I tried the same steps again and still no error shown. The problem is that after my success I tried inserting the key as quickly as before to prove myself that it was making the difference... but the error didn't show this way either! So... I don't know what happened but apparently I have not discovered the reason or maybe the problem is still there and it's just that the warning message is not showing anymore.
I am even more confused now, hehe. Have not turned off the MacBook since that, so I don't know if this will be happening from now on or I just got lucky today. The only thing I remember doing before is that I once pressed the MyBook's ON/OFF button while both it and the MacBook were sleeping. This changed the drive from standby (LED flashing slowly) to power-save mode (LED steady) and, after waking up the system, the drive powered itself off without any error message. After that, obviously, I just turned the device on again and it started working fine. Anyway I just did it that one time, meaning that I didn't touch the MyBook's power button when I tried delaying my password entering when waking the MacBook on.
Maybe some if this info would be useful for you. At least I leave it as history of base info. Bye now

I'll let you know if I find out something else.