Guys..
I've noticed with Vista that the L.E.D on your flash drive won't turn off even after you stop the device! Unlike XP I would agree. Anyone with similar view?

Yes I have seen that too.
Microsoft suggest this:
http://support.microsoft.com/?kbid=925528

I just pulled it out anyway and nothing bad happened. Although if you are using Readyboost I would be more cautious. Try going in to device manager and refreshing the hardware list.