Just recently I came across some threads where people were discussing how to most easily shutdown/restart their Windows PCs quickly in the remote desktop session. For instance in Windows 8 we see there's no option to shutdown when right-clicking on Start:

The trick? Focusing on the Taskbar or Desktop and pressing Alt+F4. You can use either:

• Mouse+Keyboard
• Keyboard only

Mouse+Keyboard

Three ways:

• Click on an empty space on the Taskbar and then press Alt-F4 (works for all Windows versions):

  

• Click on an empty space on Desktop and then press Alt-F4 (works for all Windows versions):

  

• Click Show Desktop button then Alt+F4 (Windows 7 and up):

  

Keyboard only

Two ways:

• Win+D then Alt+F4 (might not work on older Windows versions)
• Win+M then Alt+F4

UPDATE: 2016 October

As of Windows 10 Anniversary Update, shutdown options can be accessed by right-clicking on the Start button or pressing Win+X.

Conclusion

The most important thing to get right is the focus on Desktop or Taskbar. With that gotten right, shutting down is easy as pressing Alt+F4.

Happy RDP-ing to you power-users!

p.s. Honestly, i only realized my tricks (Method 1+2 with mouse+keyboard) were the quickest and most compatible while i searching for an even faster solution, but realizing that everybody else's workarounds were slower than mine. So i shared it on MS forums, and then decided to share it here.