I don't do it, because my cable box will loose its ability to relay the signal properly, and will just have a raster, until I pull the plug and reboot the box.
If you unplug a USB drive without "ejecting" it first, it's problematic, which is why you're supposed to eject it BEFORE removing it. Unplugging a HDMI cable while in use doesn't make sense, you're killing the handshake and video in mid stream, plus the voltage that can be present.
These are sensitive circuits and softwares, do so at your own risk.
Voltage is present in both interfaces and both are defined as hot swappable - that's why many attempt this "risky move"
SATA, Firewire, Ethernet are all hot swappable. If anything HDMI is designed better than USB, since it has separate pin #19 "Hot Swap Detect" while pin #18 carrying +5V supply is shorter to cut power earlier. Lockup, that Al described, is most likely "CMOS Latchup" - no longer problem in modern electronics.
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