One reason to shut a hard drive equipped machine down properly that I don't think has been mentioned...

It takes a bit longer for the Mac to boot up the next time if you didn't shut down properly.

When the Mac mounts a hard drive, it sets a "dirty volume" bit on the hard disk. If you shut down cleanly, the Mac un-mounts the volume, then clears that bit. On boot, if the "dirty" bit is set, the Mac knows that the drive may have disk catalog problems and runs a quick check over the catalog. This check takes a little while to complete and with practice, you can tell when it's running.