I use Remote Desktop quite often too, and in the back of my mind I have always feared 2 things

1. Hit Shutdown instead of Logoff (especially in Windows 2008, the Red button = Shutdown vs Windows 2003/2000)

2. Pick "Shut Down" instead of "Restart" if I want a Restart from the dropdown

I am not stupid, but everyone makes mistakes eventually .... 🙂

I try to not Remote Desktop if I can, but R.D. makes sense over VPN or for long-running queries