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The server in my room has a really small computer case (There's only 2 internal hdd mounts) so I leave my third sata-connected hdd outside of the case. Would picking up this connected hdd and moving it while the computer is running damage the hdd?

Also, (just out of curiosity), if all your hdds are mounted inside the case; Does picking up your case and inching it over damage the hdd if the computer is running?

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Moving a platter-based disk while in operation is not recommended... ever. Typically there's no harm in doing such, and the drives are built to be able to be moved without any problems... up to a certain g-force. (throwing on the ground is indeed too much g-force) Being outside the case, there is a much higher chance for ESD to damage your drive honestly. Of course, if the motherboard isn't built to handle hot-swapping, you could damage the motherboard... but that's another subject. Ideally in a perfect world... if you MUST do such... disconnect the power before disconnecting the data cable.

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As long as you're gentle with it, you're probably okay. I wouldn't freak out about small motions, just don't toss it around. –  Shinrai Jan 25 '12 at 16:35
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If you move the drive while it's spinning, try to keep it level. Remember that the spinning platter acts as a gyroscope, so tilting the drive too quickly could put a lot of stress on the spindle. –  Wyzard Jan 25 '12 at 16:44
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