The hassle with a water hammer is the pipe can move if not anchored, and then it may rub on something long enough to eventually create a hole. It is also tough on washers and hoses. Water hammer occurs when you have a fast closign valve - the water has intertia, and tries to continue to move and any loose pipe can bang against something. The shock wave can propagate a ways, but is normally most noticeable at the valve you shut off since that is the way the water is moving.
What is your water pressure? You may need a PRV to bring it down. The higher the pressure, the faster the water can move, the more this can happen. It normally doesn't occur with faucets...it is more common from things with fast acting valves like washing machines, ice makers, etc.