Having added a shutdown hook to an Applet as per documentation, http://java.sun.com/j2se/1.5.0/docs/guide/lang/hook-design.html .
The applet is displayed in a Browser (Only tested for Internet Explorer 6 but this behaviour could also be exhibited in other browsers). The Shutdown hook fails to run when the applet is displayed in Internet Explorer and the browser is closed normally. The Shutdown hook only runs if you use the Appletviewer to display the Applet.

Please see the attached document for a test case.