Hi Norbert,
Forcing a shutdown can cause hard drive directory corruption. You should start from the install disc and repair the disk with Disk Utility.
When other methods don't work, holding the power button to force a shutdown is the only way. You can try control-F12 (opens the Restart, Sleep, Shutdown dialog box) and then press return to shutdown or control-command-F12 (quit all applications and restart).
If just one application is hanging try using Force Quit (command-option-esc). That will also work to force quit the Finder if it hangs.
John