I think it's better to login and execute "shutdown -h now". I don't know whether exists a key-combination tho shutdown. you could press five seconds the start button of your box but that isn't really advisable.
When you have logged off, you cannot enter any normal commands without logging on first: this is intentional.
If you want to change the Ctrl-Alt-Del restart function or disable it entirely, look into /etc/inittab and find a line that has the word "ctrlaltdel" on it. This line defines what happens when Ctrl-Alt-Del key combination is pressed. You can change it to execute any command you like.
(Because Windows logon dialog requires pressing Ctrl-Alt-Del, it is recommended to change this setting to some non-default value if you install a Linux machine among several Windows machines: you don't want your Linux to restart if a Windows admin accidentally tries to use a wrong keyboard...)
If your hardware has a functional ACPI implementation and acpid is running, most current Linux distributions can be safely shut down by a _short_ press of the power button.
A long press of the power button (4 seconds or more) causes an abrupt shutdown, but a short press just sends an ACPI event to the OS. In Linux, the event is handled by the acpid daemon, which is usually configured to run "shutdown -h now" in that situation.
Some X display managers (like kdm or gdm) may have an option that allows the machine to be shut down from an option in the login dialog. If you're using KDE desktop, go to Control Center -> System Administration -> Login Manager and examine the Shutdown tab. My knowledge of Gnome is rather limited: it probably has something similar available.
As mentioned by Matti one better commented out the ctrlaltdel target in /etc/inittab. If the board supports it (I think most do these days) I usually use "halt -p" to shutdown the box completely with a power off (maybe comparable to Solaris "shutdown -i5 -g0 -y") Alternatively, you can use "shutdown -h now" or "init 0". If you want to reboot, use the -r option instead of -h with shutdown, or simply say "init 6". Of course, all these commands require to be executed by root.
