Check your processes and see what applications are running before you shutdown. Chances are, you've got some crappy application you've run that's hung up and Windows can't get it to let go.
This is especially true if you run P2P software, as some shadily down P2P programs (Kazaa and Morpheus for instance) try to leave back-doors open on your system for file-sharing, and Windows has trouble killing them.
Then again, you should never run crappy 3rd-party apps on your machine anyway.