It's unlikely that the whole machine will die, but if there's anything still in file write buffers, you'll lose that data... and basically the machine probably won't know the difference between you powering it off and it shutting down due to a power cut.
Services won't get the chance to shut themselves down cleanly. For instance, if you're running a web server, when it gets asked to shut down it may well complete any existing requests (with a timeout) rather than the connection just going away.
The "file write buffer" doesn't just have to be the Windows buffer, either. Again taking a web server example, the logging might be buffered so it only writes to disk every 100 requests or something similar. A clean shutdown will flush this appropriately; a hard shutdown won't.
If you have online services, a clean shutdown may sign you out of them appropriately, instead of the service thinking you could just have network problems.
Basically think of anything a system might want to do when closing down in terms of either the on-board disks or connections to other systems (such as network connections) - all of those are going to be happier when shut down properly.