You can change your startup/shutdown sound. Whichever sound you have set as your default notification will play on startup or shutdown. You can change it to any of the stock notifications and that will work, but if you choose a sound on your SD card, you won't hear the sound on startup. The boot sound is played during the mounting of your SD card, which is why it can't play that sound.
If you want to use a non-stock sound as your default notification, it requires root access and a program like Root Explorer.
I don't feel comfortable posting it here, but if you PM me I will send you the instructions.