From CNet, good advice:

Shut down Windows in an instant | Workers’ Edge - a productivity blog from Dennis O’Reilly - CNET Blogs Annotated

tags: hack, speed, windows

There’s another Registry key that automatically ends running tasks at shutdown. Navigate to HKEY_CURRENT_USER/Control Panel/Desktop, double-click AutoEndTasks in the right pane, and change the value data to 1. Now to whack your slow-ending services, go to HKEY_LOCAL_MACHINE/SYSTEM/CurrentControlSet/Control, double-click WaitToKillServiceTimeout in the right pane, change the value to 1000, and click OK.

Some people will tell you that you can speed up shutdowns by telling Windows not to clear the pagefile when it closes. Unfortunately, this could compromise your system security because sensitive data may be stored in the file unencrypted. There’s even some question about whether disabling this setting will save you any time at shutdown. For me, the possibility of saving a couple of seconds on shutdown isn’t worth the risk. That’s why I recommend that you leave the ClearPageFileAtShutdown value at HKEY_LOCAL_MACHINE/SYSTEM/CurrentControlSet/Control/SessionManager/Memory Management at 1.

Some Vista systems (including mine) don’t have all the Registry key entries described above. To add a missing entry, right-click in the right pane of its key, choose New > String Value, type the name, such as AutoEndTasks, double-click the new entry, add its value data (1 in the case of AutoEndTasks), and click OK.