The answer I will give you is that the drive and PC must support hot plugging, You need to select AHCI in the BIOS and the drive must have a SATA power cable (as opposed to the old four pin molex connectors that were used by some of the early SATA drives.)
I have never heard of hot plugging a DVD drive.
So how do you know if I can do it of not? easy answer read the next paragraph
To disconnect a Serial ATA hard drive from the computer when the computer is running, you must first use the "Safely Remove Hardware" icon on the system tray to dismount the drive from the Operating System. If the Serial ATA hard drive is not listed under the "Safely Remove Hardware" function, the motherboard or Serial ATA controller does not support hot plugging and the computer should be shut down and powered off before disconnecting the hard drive.
Except for external SATA my personal opinion is not to do it
My Computer
Computer Manufacturer/Model Number
Something I threw together
OS
Windows 7 Ultimate x64
CPU
Intel Core i7-2600K
Motherboard
Asus P8P67
Memory
16 GB G Skill F3-10666 CL9D-4GBRL
Graphics Card(s)
ATI Radeon HD 6870
Sound Card
ATI Radeon HDMI / Realtek ALC892
Monitor(s) Displays
2 x 22" standard monitors / LG32LC56v TV to watch films
Screen Resolution
1920 x1080
Hard Drives
2 x OCZ Vertex2 111.79GB
3 x Samsung103SJ
1 x Samsung103UJ
1 x WD3200BEVT
1 x Hitachi5K320-160
PSU
Thermaltake Toughpower Cable Management 750W
Case
Antec 300
Cooling
Noctua NH-U12P SE2 and 5 120mm Case fans
Keyboard
Microsoft Comfort Curve Keyboard 2000
Mouse
Hama M3110 / Logitech M305
Internet Speed
16000
Other Info
I have also used Fedora, Suse, Ubuntu Linux
And all other Windows from 95 to date except ME