Why do i hear a thud when i shut down the system?

HI, System--audio researh classic 60 and preamp sp15,triangle celius speaker and two vandersteen sub woofers. THANKS.
turn off the amp first and wait a few minutes then turn off the preamp.
If you turnoff the preamp before the amp, that could be the cause. Generally you turn on source, preamp(s) amp and turn off amp, preamp(s), source.
As you mentioned your system has 2 sub woofers, I think the thud comes from your sub, it could happen when you turn off your system even with the amp first because the sub still connect to the pre-amp output. Try to turn off the sub first and see what's happen.
if I remember right, it is a capacitor(s) discharging
I have owned Vandersteen subwoofers with an Audio Research Classic 60 and never had a turn off thump.

Amthanh, Vandersteen subwoofers do not connect to the preamp out. They connect to the outputs on the amplifier.