If you are planning on unplugging it from the macbook, then I would eject before I shut down.
If you're shutting down your computer won't the OS eject it as part of the shut down procedure?
Some external hdd's require being shutdown before you turn the computer off. My G-Tech's & LaCie both state in the instructions to eject before shutting off computer. Not sure if all external hdd's are the same, but I err on the safe side. I do know that shutting down your computer should eject everything but why take the chance when it only takes a second to eject it.
Some external hdd's require being shutdown before you turn the computer off.