Hi,
Came across this post on an affilates forum...they discuss the problem of a web site hosting appearing as two sites to search engines just because they can be accessed through different urls (
www.mysite,com and mysite.com) See here:
What is a 301 redirect? - Affiliate Marketing
Also, regarding the risk of being penalised...
Matt Cutts of Google itself seems to be suggesting the need for 301 redirects here:
Search Engine Optimization advice: url canonicalization
Cheers
Wes