Dev Eject helps you unplug USB keys safely, without losing data.
Launch the program and you'll see any connected USB drives. And as with Windows, you can tell the system you'd like to remove one in particular by selecting it and clicking "Eject". But also as with Windows, if a program is accessing a file on that drive then you'll see a "this device is currently in use" error.
With Dev Eject, though, clicking "Locks" will now display a list of the files open on that device, and the processes responsible. It can't close the files directly, but if you shut down those applications yourself then the locks will be freed and you'll be able to remove your drive.
And as a bonus, you can also use the program to gain quicker access to your devices (right-click the system tray icon, click Devices, double-click your preferred drive to open an Explorer window).
While this sounds great in theory, it doesn't always quite work out quite so well in real life use. We found that Dev Eject correctly identified locked files sometimes, but on other occasions it both refused to eject a drive, while telling us that it had "no locks" - not very helpful.
And if you want this kind of tool to carry around with you, you're also out of luck, as Dev Eject isn't portable - it must be installed.
If you just want a better way to manage USB keys on your own system, though, the program may be useful. Give it a try, see how it works for you.