With Vista, all efforts have been made that when you want to shutdown, the UX pushes you to a sleep state (S3). That's evident by the single power button on the start menu that is wired to S3.
However, I'm a Hibernate kind of user. I prefer to Hibernate whenever possible.
With the command line shutdown.exe command, they've added a new switch (along with a bunch of others) that allows a simple command to hibernate.
So, I've added to my desktop & quick launch a shortcut to the following command line:
This puts the system into Hibernate with no questions asked. No UAC, nothing.