How many plugins and gadgets do you have running? Does it ever complain that a program isn't responding when you try to shut down?
My SATA monitoring app sometimes goes AWOL, at shutdown XP gives me 10 seconds to click on "end now" and then just waits anyway if I don't. Not sure what the point of that is, sometimes I come back 6 hours later to find the PC still powered on with the close program dialog box up.
