I like the Shuttles, but they're even harder to cool than a standard sized PC because there is far less airflow. If you bung in any extra PCI cards or an AGP graphics card it gets very cramped and the whole thing heats up quickly.
The other problem is noise - since the PSUs are so much smaller, the fan in them has to be smaller too, and the smaller the fan the greater the whiney noise they make. You can replace it with a quieter one but you've got to swap like for like in terms of size so that doesn't help a great deal. Shuttle could make them much quieter although it's difficult because they have to consider the worst possible scenario i.e. cooling a P4 3.0 gig and a top of the range AGP graphics card. So in effect it's impossible to provide out of the box silence, and I don't like the idea of having to mod brand new kit.
I've gone to great lengths to quieten my Athlon and it still drives me insane. There are hugely indepth sites out there written by people who share my sentiments but I'm particularly sensitive to noise because I suffer from tinitus. I have a constant ringing noise in my head 24 hours a day and the noise from CPU fans and whatnot makes it even worse. That's why I'm going to drastic measures and am happy to make performance sacrifices for silence.