The problem comes in especially when you have one that wires direct to the house wiring!
If wired to the panel or even a receptacle, if the MAIN breaker or MAIN disconnect is not turned off, it will send electricity through the electric meter and into the outside electric lines! Not only is this unsafe, it is illigal to make such a connection to the house wiring.
This could present a shock hazard to anyone working on the electric lines down the street! Not to mention what happens when the normal electricity is turned back on!
To prevent this, if hard wired, be sure there is a "double pole, double throw disconnect, rated same as your electric service" in the circuit. A double throw disconnect disconnects your house wiring from the electric lines outside and at the same time connects your generator to the house wiring.
Call a Licensed Electrician!