I've seen this too, rebooting/shutting down a win9x system always seems to be a lottery (system hang, slow, maybe reboots, etc....) All I can say from experience is that it seems to be motherboard and/or power management related (I don't know the details) and that a reinstall sometimes helps.
Sorry I'm not much help and that it's all a bit vague but at least you know you're not the only one!
Andy