Happens many times to me. Nothing to do with Classic. Most often Preview, sometimes Excel, Mail, etc. When an application gets stuck like this, NO approach to quitting/force quitting works, and then the system will not shut down without hard turn off at Power Button.
I'm still using my old copy of Managing Your Money. If you drop Classic, one of my main day-to-day uses of my Mac disappears, and switching to Quicken will lose me all my previous years check registers, etc. Since converting a full year's worth of transactions would really be a pain, I'd effectively be blocked from Panther until after I file my taxes in 2004. So what harm is there to the rest of you to keep Classic? No upgrading needed, just make it available when necessary!
What Panther Should Fix: Part Seven, Shut Me Down
The Declaration of Independence from OS9