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All console games warn players at the beginning of any game:

Please do not turn off your console when you see the saving icon/indicator.

What if I turn it off or there occurs a power outage while saving data? What are the chances? Is it for sure that there will be a harm in every case?

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<Soapbox> Saving to new file, doing a rename shuffle to swap the new file into the old files place, and only then deleting the old version is a very old io pattern. If done correctly there shouldn't be any risk that you'd end up with a corrupt save file. journaling file systems provide similar levels of protection at that level. There's no reason a modern consumer device should allow the user to corrupt data by power cycling during an io write. –  Dan Neely Mar 15 '12 at 21:09
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6 Answers

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You could either lose or corrupt the data you are attempting to save. If the game is overwriting an existing file, this could mean that you will not be able to recover it.

Additionally if the console does not have a method for deleting the corrupted data you could wind up with inaccessible portions of your storage device.

It will mess up the ph balance in your pool. (Ok, not the last one).

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Very best case? Your game won't save.

You also run the risk of corrupting your game files, which means that you would have to start your entire game over from scratch.

People have also reported that you can corrupt the entire hard drive of your console, which would mean buying a new console. This is a rare case, but it isn't something I would personally want to risk.

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If you manage to corrupt the entire hard drive, you can just reformat it - no need to buy a new console. (It is very annoying to lose all your installed games and save data though, to be sure.) –  fluffy Mar 15 '12 at 18:58
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The same thing that can always happen when power is lost in a write operation; the data you're rewriting (your save data) can be corrupted, which is generally permanent.

It won't always happen, and there's usually reasonable protections made to stop damage from being done, but it's still not a good idea.

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You run a high risk of your save becoming corrupted and then not being able to recover the save.

While this may only apply to your auto save file it still is not recommended to do at any time.

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If you turn off your console while saving data, your data will be lost or corrupt in some cases.

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Don't "turn off" your Xbox by switching off the power at the wall socket. That would obviously be risky.

I think pressing the large glowing button on the front (or selecting Turn Off Console from the Guide) is safe (I asked my own question about it). The first time you press it, might cut the video output immediately, but asks the Xbox operating system to shut down cleanly, similarly to a PC's ACPI power button. A second press results in cutting the power if it's still running, so only do that after waiting a decent amount of time to be sure the console has "hung" and you have no choice.

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