The importance of using a proper shutdown of your computer, can not be over emphasized. This means running the shutdown (or reboot) procedure, and not just shutting the computer off.
If you simply power-off your computer, you are taking a big risk of damaging the files. If a file is open, especially in write mode, and not a read-only, there is a good possibility that the file will be corrupt, when you bring your computer back up. This could be any file, from one of your documents, to one of the operating system files. In the latter case, you might not be able to boot your computer at all.
I have seen this type of corruption of the operating system, as well as the more common corruption of application files. Many times this can be directly attributed to improper shutdown. I just finished repairing SQL database files for a customer. I attribute this directly to improperly shutting down their Windows server. This is the second time in two weeks. Each time the logs indicate that the system had been powered off, instead of shut down.
The proper shutdown for Windows, is to select Start -> Shut down (or Turn off computer). For UNIX/Linux, it is the command shutdown.
Using the correct shutdown procedure allows your system to close the files it has open, and gracefully exit the applications that are running. Doing a power-off instead, can lead to a time-consuming process of getting your information back,. This is not always successful.