I use standby, as well.
I think the definite *wrong* thing to do is to shutdown your PS2 straight from the switch in the back. I would at least go to standby first, then hit the switch. I think the read head in the drive goes to a home position when you use standby (probably safed from dust contamination and safed from damage during transport). If you go straight to the switch to shutdown, that will leave the read head just dangling out in the open wherever it happen to be while you were playing your game.