1. The standard approach - click the Start Button with your mouse, then select the Turn Off menu and finally click the Turn Off icon on the Turn Off computer dialog. [ooph!]
2. Press Ctrl+Esc key or the Win key and press u two times - the fastest approach.
3. Get the Shutdown utility from Download.com - it add the shut down shortcuts for you. Else create them yourself using approach 4.
4. Create a shutdown shortcut on your desktop. Right click on the desktop, choose New Shortcut and type shutdown -s -t 00 in the area where you are asked to specify the location of the program file. Now you can just double click this icon to turn off the computer. The best location would be your quick launch bar.
5. Press the Win key + R key to open the run window. Type shutdown -s -t 00. [s means shutdown while t means the duration after which you want to initiate the shutdown process].
If some open processes or application won't let you turn off, append a -f switch to force a shut down by closing all active processes.
Update: Added new shutdown tricks
6. Win+M to minimize all windows and then Alt+F4 to bring the Turn Off computer dialog.
7. Open Windows Task manager (by right clicking the Windows Task bar or Alt+Ctrl+Del) and choose Shut down from the menu. Useful when the Windows are not responding.
How to Shut Down Windows Faster ? | Should I shut down Windows before turning power off ? | Windows XP Command Line Tricks | Shut down the computer by Text SMS