In order to preserve the integrity of your digital files when they leave the cozy cocoon of your Mac, let's first define a few terms so that we're all on the same page.
A file is simply a repository for data. It has a beginning and an end, and it also has a name. Files reside on your hard drive. When you want to use a file, you open it and do something with its data.
In most operating systems, a filename extension (such as .jpg for JPEG and .doc for Microsoft Word documents) gives clues as to the file's contents. If for some reason the filename extension is omitted or erased, the operating system has no idea what the file is, or how to open it.
Mac files have traditionally had more to them than the typical computer file, in two ways.
First, Mac files never needed filename extensions, because the Mac's disk file system, called the Hierarchical File System (HFS), stored metadata (or data about data) for each file on the hard drive, remembering what kind of file it was, which application made it, what icon to use for it, and so on. Mac OS X, with its adoption of HFS, continues to do this.
Second, Mac files sometimes have two separate repositories, called forks, for data in a single file, though this is getting rarer. The data fork contains good old-fashioned data, just like a non-Mac file. The resource fork, however, contains resources that the file uses to interact with the user, such as special text, icons, pictures, sounds, and the like.
The issue for the typical Mac file is how it travels and eventually resides on a file system other than HFS. Since most other file systems don't have a metadata layer like HFS, Mac files without filename extensions appear as poor little orphan files when you copy them over to these file systems. Further, if provisions aren't made for the precious resource fork of a Mac file, it gets stripped out of the file entirely when traveling to other file systems, leaving its data fork brother all alone.
Fortunately for us, FCP project files contain only data, and no resource fork at all. In version 5, for the first time FCP saves out an automatic filename extension (.fcp), but it hides this extension, much like its other Pro application cousins do.
A Word on Other File Types and Filename Extensions
The Finder recognizes a QuickTime file if it simply has a .mov extension appended to its name. Therefore, it's extremely important to append a .mov extension to any QuickTime file you export from FCP, especially if the file is destined for a machine or server other than a Mac.
When must you do this? Oddly enough, when you use File > Export > QuickTime Movie. The Using QuickTime Conversion option automatically adds a .mov extension to your filename.
Thankfully, most of the Apple Pro Applications automatically append filename extensions to their project files. Cinema Tools is the sole exception. Here are the extensions for other applications: