Unfortunately not prior to Windows Vista.
Here's the word from the horse's mouth: http://support.microsoft.com/kb/203878
Windows Vista (and newer versions) have a "Service Shutdown Ordering" feature. This is controlled by the "PreShutDownOrder" registry value (briefly mentioned in http://technet.microsoft.com/en-us/magazine/2007.03.vistakernel.aspx).
Searching "PreShutDownOrder" with "site:microsoft.com" on Google is returning an unhelpfully low number of results. It looks like it's only quasi-documented by Microsoft. I'd play around with it and see if it does what you want.
Here's a blog entry that mentions it from the "Ask Perf" blog (a really great blog, BTW, if you like knowing about Windows innards): http://blogs.technet.com/askperf/archive/2008/02/04/ws2008-service-shutdown-and-crash-handling.aspx