I usually add an external monitor to my MacBook Pro as a second monitor. The only way I've found to unplug it without switching off the MacBook (or putting it to sleep) is by simply unplugging the HDMI cable.
The screen goes dark for a second as the system brings all the open windows over to the one screen (since I'm using the additional display as a second monitor instead of mirroring).
I feel this may result in some problem some day.
Is there a better way of doing this, say from the System Preferences interface?