Yes, not a software issue - it's a hardware switch in the headphone jack.
As NovaScotian says, the startup tone bypasses the audio output.

The easy way?
Use your headphones in a USB sound card, such as an iMic. The headphones then don't disconnect the internal speakers, and you can choose between outputs through any convenient method.

No, it's a software issue. Using the Bootcamp drivers you can toggle output (internal <-> external) in the Win 7 soundsetting.

Not true - if i "mute" the computer before i turn it off, it does not sound.

I'm pretty sure this is a software issue (albeit, very low-level. maybe even kernel?)

It just surprises me that, after being a windows guy for the longest time where I could do so many simple things easily (open a file with Enter, instead of renaming it, output sound to my headphones AND my computer speakers, etc..) that i'm not as annoyed I can't do it on a mac.

Normally, when I got annoyed at things that mac could do well not on windows (expose, ux, etc..) I would think to switch. But being on the mac, the thought of going back to windows hasn't even entered my mind.

Is that crazy? am I a mac fanboy?... scary...

Muting does not mute the boot chime on every Mac, because the boot chime is produced by the ROM. Not a software issue. Some Macs still sound the boot chime, even if the sound has been muted in software. This depends on the model. That's also why the boot chime may ignore other software or hardware connected to the Mac.

AFAIK, no PPC Macs will sound the boot chime if the sound in the system has previously been muted. This will reset (unmute) if you reset the PRAM. Newer intel Macs may or may not produce a boot chime, even though muted. That's my point, the boot chime is not a software issue.

Has this been resolved?
 

Hello,
I know this is an old post and am not sure if it has been resolved but I would like to do the same thing as the original poster.
It has been mentioned that plugging in headphones hardwires the output to that output, however if this is the case why when I have my headphones connected during startup to I hear the startup chime through the iMac speakers??

Just means that your model iMac is one of those whose boot ROM directs the startup chime to the iMac's speakers no matter what you've chosen in the Sound Prefs or external plug. Some folks who really object to the startup chime mute their sound with an AppleScript before shutting down (so you can't hear the chime), and then set it back where it was as the machine starts up. I don't shut my machines down, so it's not an issue.