just remember to let the camera finish writing to the card before taking out the card. if not you ll lose the photos in the buffer and have a corrupted file for the one that was being written when the card was removed.
else if, you can change lens, card, battery, mount/dismount flash when the camera is on (and not doing anything important)
It's a bad habit but part of the worry IIRC comes from those days where computers buffered data before actually writing it onto removable devices. The concern was that if you remove the device before the computer finishes passing data onto it, you could potentially corrupt the device or file in transfer.
That said, I've done taken SD and CF cards without powering off DSLRs, and have never got data corruption before. As the previous poster has pointed out though; do make sure your camera isn't busy writing data onto it first.
Thanks for all your replies which help to allay my concerns about it. At first I was thinking if I've introduced any unwanted ESD into the camera circuitry during the process of inserting the CF card without powered OFF the camera, thus the may affect may the sensor perfrormance of the camera. Instruction manual was saying to turn off when inserting memory cards.
Haha.. I think I OCD too much
Will just remember to off it before inserting and removing cards in future.