1. Any problems with either SP?
2. Do I need to install SP1 THEN SP2 or can I go straight to SP2?
I've found, and clients have found, SP2 is very good. One reason to get it is that it fixes an issue with memory allocation.
2) Is your machine ACPI-compliant? Did you select ACPI-compliant computer when you installed?
Your problem sounds like a driver or program that won't release itself when the machine is shutting down.
If it isn't a driver you can hit "Alt-Cntrl-Del" and go to the "Task Manager" and shut down each resident running program, one at a time and try restarting each time. You can identify the program that isn't releasing itself on shut down this way. Once you identify the problem program look for an update or don't use it.