look here: <http://www.pcengines.ch/pic/cf5gs.jpg>
and here: <http://www.hardwarebook.net/connector/memory/compactflash.html>

well, that's not the real spec doc [TM], nevertheless you 
can clearly see that the power pins are protruding and thus
give contact before signal pins at insertion of a CF module.
at removal of a CF module, signal pins get disconnected 
before power pins.

this is an excellent precondition for an electrically 
hot-pluggable interface system - which CF definitively is.

others will speak for implications at a more logical or 
software level around "disk geometry", atactrl rescan, 
and so on

my experience with few other *nix shows that even
when umounting partitions residing on a CF module, at
times some systems have (up to big) problems.

when I use a CF-DIE adapter as depicted above, I only 
unplug CF modules after halting the OS
when I use a CF-USB adapter I unplug USB side first
after umounting partitions

sorry, can't speak for NetBSD directly  :-(

Stephan