I can't remember which one it was, but someone in the HD650 thread pointed out instructions from a particular amp vendor that did suggest cycling the power with the headphones plugged in as best practice instead of the other way around. I wish I could remember which brand it was. That would definitely be the exception to the rule.
Woo's FAQ has a Q about "can I unplug my headphones while it's on" and the answer is something to the effect of "It probably will be fine, but be certain to at least turn the volume to zero" indicating that doing so may not be his first recommendation. It all depends on the design I suppose...but the most common is plugging/unplugging while the device is on it seems. And consider every iPod, game handheld, PC, etc out there is generally going to be ON when you're plugging in. It's a less powerful amp, but it's still an amp.