I disagree with the others.. it depends on what type of a HDD and how you use it
What kind of a HDD (External or internal)? And how are you turning off the power: Through Windows power management (for internal drives) or just pulling off the cable (for external devices) ?
It depends on how you use the HDD. Setting Windows power management to turn off the HDD is in fact good for the HDD, especially if you are going to just leave your PC ON doing almost nothing most of the time, this will keep the HDD cool, because it will not be spinning unnecessarily; and it can lengthen the lifetime. But the idle time before it shouts down should be set properly, otherwise it would affect adversely.