### TL;DR
It's a best-practice to close any applications that might have unsaved data before shutting down.
### Longer Explanation
It is the individual application's responsibility to gracefully handle a SIGTERM, but there are certainly cases where this will not suffice. Two examples that could cause data loss are:
1. An application does not properly handle (or even ignores) SIGTERM.
2. The application takes longer to save its data than the system allows before sending SIGKILL (e.g. around 5 seconds on Ubuntu according to the upstart cookbok).
### A Few Practical Examples
I would personally recommend closing open documents in your text editor or word processor, but I wouldn't worry about Tomboy notes or open Firefox tabs. You should probably take care with any bulk file transfers in Nautilus, but I wouldn't worry about a resumable download with wget or transmission.
Like all things Unix-like, YMMV.