One of my friends and former co-workers at Vertigo Software, Eric Cherng, wrote this excellent article Vista - Start Menu Power Button for the Vertigo Software Blogs, which is an excellent resource btw, on how complex Microsoft made just shutting down your computer.
Go read Eric's articles, then just look at this dialog box, which is what OS X shows you when you hit the physical power button
Say your a Windows and you are gunshy about using the physical power button it never does what the user wants and is vendor dependent. In OS X you would click the Apple Menu, the blue Apple in the menubar) where anything "System related" is and you would see the following
I had a related reaction to as Eric when I tried to restart Vista, you have to click the little right arrow next to the lock button to see, drum roll please, a menu!
In OS X, you actually can't change from System Prefernces what the physical power button does when it's pressed, I don't know about fiddling with preference files in Terminal, but why would you bother when OS X already asks you what you want? I could go on about how needlessly complex Vista's power management "options" are compared to OS X, but it is hard to find joy in making fun of the handicapped.