USB External HDD NOT spinning down on Windows Vista / Windows 7
This is a "feature" by design as per MS KB 2401954 - USB Port Remains Active for Disabled or Safely Removed USB Device which also has instructions on how to disable this.
Update: It is worth reading the more information section of KB2401954, especially the "Effects of Soft Removing a USB device" bit so that you understand the effects of reverting the behaviour under Win 7 etc.
I have the same thing happen to my WD 320 GB disk on Windows 7, but it used to work for me in Windows Vista, which makes me think its probably a setting somewhere.
I can't say it bothers me enough to have done anything about finding that setting. I figure as long as Windows has stopped using the disk, it won't really matter when I yank the cord out.