On my old G4 PowerBook, changing the battery was a piece of cake. Shut the lid, wait until the light glowed, then remove the flat battery and replace it with a fully charged battery, lift the lid and back to work…
With the MacBook Pro you can’t do this… in theory it is suppose to suspend the computer and save the current state if you remove and replace the battery in the same way as I use to with the G4 Powerbook. However from my experience it is very much a 50/50 chance that what will actually happen is that replacing the battery will result in needing to boot the MacBook Pro. Of course this means that any unsaved work is not saved.
The problem is that (as far as I am aware) there is not a way to set the state of suspension manually, you have to let the computer do it.
As a result I do like the hibernation mode that you find on Windows laptops, very easy to replace the battery then, though it can take an age to resume from hibernation.