All these people saying they always "safely remove" clearly don't have an S3 running ICS or JB on a Windows system. As many have already stated, that option doesn't exist when using MTP. Just don't yank the cable in the middle of an operation when you're moving data to or from the phone (SD card or otherwise).
Edit: it occurs to me that OS's prior to Windows 7 might not understand what MTP is, and still offer the eject option. If your computer does offer this option, it's probably not a bad idea to use it, since your OS may not be smart enough to avoid background writes.