In Ubuntu, unmounting an USB-powered external hard disk will not work in the same way as the safe removal would in Windows. What it won't do is powering down the hard drive. You will notice this when you unplug the USB cable, because of the nasty sound coming from the hard disk, similar to the one you would hear if the power supply got suddenly cut off.

Thanks to this post on Ubuntu Forums, I've figured out the solution.

First of all, you will need to install sdparm:

sudo apt-get install sdparm

At this point, unmount the drive and then issue the command:

sudo sdparm --command=stop [device]

Replace [device] with whatever you need, and that's it: your hard disk will spin down and rest, in the same way it would do in Windows after a safe removal. Now you may safely unplug your hard disk.

Notes

This how-to is based on my experience with a Western Digital WD Passport hard disk.
NB: it looks like this how-to won't work with some Lacie external hard disks.