My new projector, sounds like it 'strikes up' twice everytime before starting, thought this was a little wiered at first compared to my old one but it works fine.
With my old infocus X1 it could be cooled either by the fan or just switching it off at the wall, with the latter being recomended as long as the lamp was given enough time to cool as it would be with the fan on.
As that was a DLP and maybe other design decision nothing would get overheated by just switching it off, other projectors and particualrly lcd's have components (e.g. LCD panels) that may not like the heat given off by the lamp when no fan is running. With my new projector I always switch it off via the remote/menu, let it cool and then switch off at wall and unplug as its not surge protected(yet).
I think projectors are generaly more robust than people might think, but because the bulbs cost so much we generaly like to treat them as kindly as possible.