Did I take the USB key out of the laptop too soon (as in, without dragging it to the trash) and therefore corrupt the files somehow?

Should we murmur quietly about Mac superiority?

that sounds like as good a suggestion as any... you have to make sure that the little blinky light isn't going when you pull the drive out, or you'll have problems.
i've used my usb drive a whole bunch of times between mac and pc, and never had a problem, so i don't think it's a compatability issue.

The files that begin with a period and underscore can be disregarded on the PC. They're the resource forks that hold metadata such as the Finder preview, filecreator and stuff like that. Just ignore these files.

As for the premature endings: I'd try to upload the files again to the USB drive and open a few of them on the mac before dismounting the usbdrive and going to work.