Depends on the OS and the product being used. Doing things like a backup (TimeMachine, Acronis TIH, etc) where it's tied into the filesystem and can handle open files (the Lightroom catalog is locked, but you can still make a OS level backup) is fine. Scripted stuff that isn't able to handle the open files will throw an error, but that won't destroy anything.
Other than slowing things down, it's fine. The Lightroom Catalog won't necessarily be up to date, but that's why you'd do a backup after closing Lightroom - either with the Lightroom backup process, or the backup process treating the catalog as a normal file.
