My Wii has frozen 1 time. This was earlier today while loading Wii sports. After I 'A' at one point it went to black screen not to return. I held the power button down and the Wii turned off. Turned it back on and played with no problem.
I would not suggest simply unplugging the power cords from the back at any time. This frys Computer power supplys and possibly other parts (rare but it happens) so I have to assume it would do the same to the Wii, which is nothing but a small computer with propriatary software, hardware and input devices. So yeah, dont risk it. If you are frozen just hold the power button for a few seconds to shut down. Then restart as normal.