"unmount" SD card

[Crimson Nape]

Yep! ANY device that is connected via a USB connection needs to be disconnected before removing the plug.

[mdhampton]

Especially if you made a change like deleting something. Thing is, Windows can change it without you knowing it if you are looking at thumbnails that include a small version of the picture, so with a camera definitely yes.

[ShaunBlake]

...
Apparently "unmount" is another term for "eject".

That's something I didn't know.  Does that apply to a phone when I'm downloading pictures, too?

Yep! ANY device that is connected via a USB connection needs to be disconnected before removing the plug.

Especially if you made a change like deleting something...

All good advice, S.Ann, and a good practice to follow. However, don't be anxious: Windows 10 (and 8, and Vista, and 7, and older...) as well as Mac OSes going back a ways have been so fast that data transfers almost always finish before you can reach down and pull the pluig.

With Win 10, a little icon in the bar below the top (tab) bar will show the progress of downloads and such. If you make it a habit to check that area before closing a File Explorer window, you'll avoid the horrors you've been warned about.