You have to unmount them yes, but it's just one of the many little things that I find easier in OS X than in Windows. In Windows you have to go down to the system tray, right click the tiny green icon, click safely remove hardware devices, click on the device you want to stop, then click stop. That's 4 clicks. In Mac OS X, you just select the drive (it's only mountable drives that require this), and drag it to the trash, which will turn into an eject icon as you're dragging. You can also just hit command-E with the drive selected. Either way, that's only 1 click as opposed to Windows' 4 clicks.