[Pat Fairbank]

Edit: beaten by the above post

Well, on ATX motherboards if you just press the power button once Windows will shut down normally (or stand by, or hibernate, depending on your power settings). That's ok.

But if you're talking about holding down the power button until the computer abruptly shuts off, then yes, it can be a bad thing. If the computer was in the middle of a hard disk write, you can end up with corrupted files. For example, I spent the better part of Thursday at the 2006 Championship fixing the only laptop that had our (296's) code on it, because someone had shut it down incorrectly and it couldn't boot Windows because of corrupted system files (it only took that long to fix because it had some kind of funky SATA-RAID system that required 3rd-party drivers).