most importantly, it is possible if you are hap-hazard in removing a live round that it can slip out from under the extractor enough that the primer can hit the ejector causing a detonation. Also, if the round is partly extracted and, for example, the slide slips out of your hand and closes, the primer could be detonated by the extractor or a corner of the ejection port. These are not common occurances, but they are not un-common, either.
All safety rules (and gear.. ie eye protection) apply when loading/unloading a firearm.
It can and does happen! This is why the NRA now requires an empty chamber flag on rifles at High Power events, to ensure there is no round in the chamber.