Ejecter is a small but very useful utility to safely, easily remove external media. A simple menu that sits in the system notification area, providing you a quick way to unmount external peripherals such as usb pendrives, cd/dvd, external hard disks and so.
To install Ejecter in Ubuntu Jaunty, open a terminal and type:
sudo apt-get install ejecter
For Ubuntu Hardy and Intrepid, download it from here.
You can also install it in any other Linux distro by downloading the source files.