Usually I download lot of stuff from internet, sometimes when I want to go to bed, it says 1hour remaining. I would be in a confusion state whether to sleep & run my PC all night or wait till it completes or pause downloading & shutdown the PC. I wished if a sleep timer functionality like in TV implemented for PCs.
Though this functionality doen’t comes with Windows XP, I found a freeware which simply does that. Auto Shutdown is a freeware with which you can set sleep time & it automatically shuts down the PC at that time! This really filled my requirement, depending on download I can set a time to shutdown. When I start my PC again, I can see completed download. The sleep timer was useful for me because of downloads, you might have different requirements to set sleep timer. If you can estimate completeion time for any process running on your PC, instead of sitting in front of it until it ends, just set sleep timer.
In case downloading, several download managers like Free Download Manager comes with an option to shutdown computer after completion of downloads. For all other cases you can get Auto Shutdown at Rabid Software.