TuckBodi: Well, if the hard drive is running for any reason (sync, etc.) and you cut the power, it's not going to be doing any wonders for the machine. I mean, it's basically a computer running OS X - do you ever shut down your Mac by just yanking the power cord?
So while the Apple TV should probably have a shutdown option, you probably aren't going about it in the best possible way.
irmongoose