I was bored so I tried pulling out the harddisk of my laptop while it was running. Windows (7) kept running and didn't crash. Of course, I couldn't actually open any programs, but it didn't lock up. I put the harddisk back in and after a while the programs that I had tried to open all opened up at once. Pretty impressive
I tried to same trick on Ubuntu 10.4. As soon as I pulled out the harddisk, the gnome UI died. The taskbars disappeared. My console window stayed open however, and 'top' (started before I pulled the HDD out) kept running as well. Once I exited 'top' the system was pretty useless, of course. I put the HDD back in, but that didn't do much. Ubuntu didn't seem to be able to recover the way Windows did. I also was unable to login from a new tty.