Eugene's observations

All of a sudden I now know of three systems that hang (apparently stop doing anything) at powerdown time. Note that this is after the 'Windows is logging off...' and 'Saving your settings...' messages (otherwise it would be a shutdown problem). If you see the 'Windows is shutting down...' message and hear no activity coming form the hard disk drive, and see no flashing LEDs, then you must press the big button on your computer (the one you normally use to switch the PC on) for more than 4 seconds to abruptly shut off the power. Next time you restart the PC be sure to rectify any disk problems by running a 3 phase CHKDSK (in Windows Explorer, right click the drive and select 'properties', tools tab, 'Check now' and select the first checkbox only [Automatically fix file system errors]).

There are countless possible causes of this problem. I wonder if a recent (perhaps automatically applied) Windows or driver patch has caused this. System Restore should be able to help undo this if necessary.

Of the myriad potential causes of this, just one is easily diagnosed. It is a registry setting that sometimes gets corrupted. As the registry is such a dangerous place, the suggested way of making sure that the appropriate setting is correct is to download then merge (by double clicking) the following file:
http://www.1computercare.co.uk/PowerdownAfterShutdown.reg

Another good to do thing would be to investigate the event logs and see if a problem reported there can be located and resolved. Device manager too may provide a pointer.

Also, try looking at log files left as a result of following the advice at http://support.microsoft.com/default.aspx?kbid=837115

Beyond that, there is a (possibly outdated) useful list of suggestions at http://www.aumha.org/win4/a/shutdown.htm

Another approach is to assume that as a common cause is faulty services (often video drivers), a clean boot should be done and each service readded individually. A very time consumning process explained at http://support.microsoft.com/kb/929135