Some program has data in it's buffers. Windows (I think it was 2K) was criticized for dumping data while shutting down resulting in data loss. That's why you now get all those funky nag boxes it you try a shut down with programs open. The only way to get a clue is check the task manger while you are shutting down, that should give you some clue of the offending program, it's probably a terminate and stay resident program of some sorts. It may be generating an error during shut down so check the Windows error log too.
Sorry I can't be more specific. Do you by chance remember when the slow shut down started and what you may have installed just before that? Keep in mind, some cracks may cause this behavior as well.