C-d on an empty line in the shell terminates the process.

(defun comint-delchar-or-eof-or-kill-buffer (arg)
  (interactive "p")
  (if (null (get-buffer-process (current-buffer)))
      (kill-buffer)
    (comint-delchar-or-maybe-eof arg)))

(add-hook 'shell-mode-hook
          (lambda ()
            (define-key shell-mode-map
              (kbd "C-d") 'comint-delchar-or-eof-or-kill-buffer)))

With this snippet, another press of C-d will kill the buffer.

It's pretty nice, since you then just tap C-d twice to get rid of the shell and go on about your merry way.