I have a i7 920, 6gb corsair RAM, and a Gigabyte EX58-UD3R. Upon clicking Shutdown, then computer seemly shuts down fine, turns off then within 3 seconds it starts up again. The only way to turn off it hard off. I have latest BIOS and every driver. I have been through the BIOS but see nothing to stop this.
Are you on vista? If so, just checking that you are actually clicking on the little arrow to the right at the bottom of the start menu and choosing shutdown instead of just clicking the little power symbol, correct?
Obvious but, first thing that popped into my head.