The SQL service logs when it is being shut down to the Windows event log. Short of it crashing down, you can use WMI instrumentation to have Windows notify you when those notices pop in the log.

System center and third party tools like BlueStripe (I believe that's the name) can also monitor the SQL browser services in your network for a list of "available" servers against the expected list. When a server is shut off, they will disappear from the list and the tool can notify.