If you find it annoying that you can't use a removable drive in both Parallels Desktop and the Mac OS at the same time, just add a shared folder in Parallels which points to /Volumes.
That way, you can access all your USB drives, DVDs, etc. in Parallels via the Shared Folder feature, and you still can use them from outside Parallels as well. No more ejecting and mounting and ejecting and mounting...
