Yes. In Vista you can use CancelIoEx to cancel asynchronous I/O requests. You can also use the older Win32 API called CancelIo. cancelIo has some restrictions that CancelIEx addresses.
There are many scenarios and some of them are given in the "Inside Windows" book. For example, many critical system threads run at real time priorities. Using these priorities require "increase scheduling priority" privilege.
For further details I would recommend the "Inside Windows" book.