What happens if I don't eject before disconnecting my iPod? iTunes is always sure to tell me that I have to eject my iPod before I can physically disconnect it from the computer.

What is going on when you eject it? What is the software doing? What's the risk of disconnecting it without ejecting it first?
If the connected devices are exchanging data while you interrupt it (unplug) following can happen.

You can have a corrupt files/folders on either site.

Mostly that can be repaired but not always.

If you use Eject, the data transfer process is stopped correctly.