... i leave my broodwar CD in one of my CDRom all the time, so i can go to battle.net whenever i want, and have some qucik 2vs2 actions.
And the CDRom still works perfectly.

I can think of reasons why you might not want to leave a CD in the drive while moving your machine about, but otherwise it should be just fine.

I use to never think about this but recently i've taken to checking my machine whenever i move it.
 
I guess with a slot based drive it should be okay *shrug*
 
with with tray loading I have noticed with some that when moving the machine ..or tipping at certain angles the cd in the tray would become dislodged ..
 
I came clsoe to probably wrecking a cd or two when i ejected the tray and was almost ready to insert when i noticed a cd just floating inside.
 
So i guess never leave your cd in when moving

I take them out just because I hate that stupid delay when you open up Windows Explorer, and it spins up the drive to check what's in there (even though you aren't browsing the CD-ROM). Other than that, I can't think of anything either.

On some IDE drivers I have used, putting in CD would make the drive scan for directory changes periodically. Even using fastfind is not ok.

No!! Please don't tell me you're using MS Office "findfast". 8) I do hope that's not what you're talking about, cos you should never allow that thing to touch your machine! That's why it's scanning the drive periodically. IMHO you should remove it from your startup ASAP.