I always thought it was dumb that I still have to turn it off myself. If you have opened a program, and then close it, Windows doesn't necessarily close the program or its data at that time. It might store information in RAM, or in the physical swap file or temp directory.
Problems arise at the last point here.
When you go to the start menu and choose the shut down option, Windows quickly puts everything back where it should be. Files are written back to disk and programs are closed. If you don't shut down properly Windows doesn't write opened files back to disk. You can end up with orphaned file fragments, lost clusters and other nuisances. These can be reported by ScanDisk as bad sectors even though they are not.