Maybe it's just because of my age but I was taught at an early age that unplugging things from PCs while they are still running is A BAD THING. This is probably because of experience I had repairing electronic goods. I've seen the damage that can be caused by the spikes of charge that occur very easily when you separate two PCBs while they are talking to eachother.
Simply put, never unplug your memory card while the PS2 is running.
The autosave is a pain, as mentioned, because it is always on, which makes if difficult to decide when its busy overwriting the save game, so I tend to quit to arcade mode and wait for the Ford GT to start panning before I switch off. Haven't had a hassle yet. My autosave is off, not that doing this was a fat load of good because PD clearly misunderstood the concept of an "Autosave - OFF" option.
It seems easy to do but you just have to be cautious and try not to do plug and unplug things like memory cards, controllers, CDs, and even the USB Flash stick while the game is obviously busy doing something, even if its just swapping or updating a screen. If it's running one of the demo replays, I stop the replay and wait a few seconds before doing anything. Then, with the exception of the USB Flash stick, which I am assured can be installed and uninstalled "hot", I turn the PS2 off before removing a memory card, or reset before removing the GT4 CD.
Oh yeah, and "loose" means unsecure. as in a loose lugnut. When you misplace something, or have something taken away from you by some outside influence, you "lose" it, you don't "loose" it. If you lose something, you cannot loosen it until you find it again.
/END GRUMP