Apparently there is some problem with the Intel HD Audio kernel module in Linux (pretty much all versions) that prevents people from fully shutting down their PCs. See this bug report here:

http://bugzilla.kernel.org/show_bug.cgi?id=7195

This may affect any system that uses the snd_hda_intel module (snd-hda-intel.ko), such as my Giga-Byte GA-8ANXP-D. You can shut down, but you can't power off. Presumably this module is not releasing its resources (interrupt?), or something along those lines.

The solution, ultimately, is for someone to fix the buggy driver, but in the meantime there is a workaround:

Edit (as root) the file:

/etc/init.d/halt

Look for the following section:

# Save mixer settings, here for lack of a better place.
grep -q "\(alsa\)" /proc/devices
if [ $? = 0 -a -x /sbin/salsa ]; then
action $"Saving mixer settings" /sbin/salsa -s
fi

Then insert after that section, the following:

# Kill Intel HD Audio
/sbin/rmmod -f snd_hda_intel

Congratulations, you can now power off your PC.