I found the free USB Disk EjectUSB Disk Ejector to be very useful:
A program that allows you to quickly remove drives in Windows. It can eject USB disks, Firewire disks and memory cards. It is a quick, flexible, portable alternative to using Windows’ “Safely Remove Hardware” dialog.
The above link no longer works. A similar application may reside here. There is no guarantee that this application is the same one as described above in this answer.