My three prefered methods of shutting down:
1) Start -> Shutdown (or Turn Off Computer)
2) Press (do not hold) the power button. Same result as going number 1 above.
3) Hold power button (only used when system is not responding).
I never pull the plug on my machine. I will always let some type of software (Windows or the BIOS) shutdown my computer.

pulling the plug or just shutting it off with the power button is no good. many components on your pc don't get a time to cooldown. an example is the harddrive. it's spinning at 7200+ rpm. if you just pull the plug, it may just keep going. kind of like a car. if you just kill a car at 100 mph...it'll keep on rolling. take the time to shut it down properly.

it will never hurt youre pc

Nope, even if you do a proper shudown in Windows, everything will just turn off as usual, similar to pulling off a power plug while the computer is still on.

Basically the shutdown button in Windows OS is just a proper way to ensure all your data is saved on the harddisk before turning the computer off. It's nothing related to damaging the hardware components, unless you try to overheat them.

For example, you are working on a report on Microsoft Words. This document is not saved yet, so all the text you've entered in MS Words are stored temporary in your RAM, or swapfile. Pulling off the power plug while you are still working on your report will cause all your data to be lost. Whereas the shutdown button verifies and ensure that you intend to shutdown your computer without saving your document. The shutdown button also saves all your profiles settings and configurations, so the next time you logs on to your computer, your desktop background will remain the same as what you've configured, say for example. Pulling off the power plug will destroy all your settings which you've just configured and the next time your log on, the settings will revert back to the previous one where a proper shutdown was done.

To summarise, holding down the power button or pulling off the power plug will not damage your computer hardware components. You will only lose your data if they are not saved. Using the proper shutdown method from Windows will be the same as cutting off the power supply, suddenly, but ensured that your data is all saved. Its basically for your data, to save or to lose. Hardware components are not affected.

maybe it's just my personal experience of having a power supply just pop when you pull the plug.

Using the reset button, or the plug, will cause problems in the long term. Effectively each time you do so there is a small chance you may corrupt part of your hard disk, this could be a vital part of windows which you may need to repair -- or be forced into reformating the pc.

If you do it ALOT, and do not run the disk checker (we all hate to, it takes FOREVER); then you run the risk of causing serious problems to your hard disk. Usually the boot sector goes completely, forcing you to buy a new HD to boot from so you can get your old data back.

When my sister did that to mine I imediatley starting having problems. But luckily those are fixed now.

Well, i personally dont think that it hurts your computer. But it is better to do it through the start menu cause like others here have said, it is safer for the programs because they have a proper chance to shut down, and save what they were working on. I never shut down my computer manually though. I just dont like to. But i dont think that it will hurt your computer. I really only turn it off that way if it freezes or something like that.

i tell myself its fine to manual shut down all the time, yet it has caused my pc to totally malfunction on a number of occasions. my pc would freeze, so bam i shut it down. next time i boot it up my windows install is corrupt and i need to re-install it... v its happened atleast twice, and is very frustrating. i do not recommend manual shutdowns, but sometimes they're just needed. what i don't get, is how it's different to resetting a pc. i reset my pc far more than i ever do a manual shutdown and it seems to work just fine. from personal expierence, i'd reset it (if you can) then manual shutdown in dos mode. don't ask me why, but i've found it to be the safer option.