When I'm about to stop playing a PS3 game, I press and hold the home button and quit the game. Then I remove the disc. And then I press and hold the home button again and turn off the system (which also turns off the controller). I just assume this is the proper way to do it.

Could something bad happen if you walk up to the PS3 and shut it off while the game is running, even if there are no save/load indicators on the screen when you do it? I ask because I play a certain game with a special controller that doesn't have a home button. And I don't want to turn the ps3 controller on just to exit the game and shut the system down. It is also a digital purchase so there is no disc to speak of.

That seems awfully complicated just to turn off a PS3. I just hold the power button (Well, set my finger on the power button) for a few seconds. Or just simply eject the disc.

So no, nothing bad should happen. Even if you were to flip the power switch on the back (Do they still have those?) or unplug it. Unless it's saving, obviously, but even then all that may do is, at worst, corrupt your save.

The only issues are if the game is doing a save operation of some kind (and you don't always know when it is doing this, like Tomb Raider) or it could scratch the disk. However, I would not be as worried about the disk as they should have put a mechanism in place to slow and stop the disk before chassis power is removed.

On the 360, I always use the button on the controller to shut down the console and the game, but once I have made sure it is saved, if I am concerned about that.

If it's not saving, then you can just turn it off. You don't have to take the disc out or quit the game first.