Zap Sound out of Speakers when Powering Off

Jeesh, don't sound normal to me. As a preliminary suggestion, it's a good idea to turn off the amp first when shutting down. That way, if any of the other gear discharges anything weird when shutting down it's not passed along (and amplified) on its way to the speakers.

That said, your gear shouldn't be discharging anything weird while shutting down. Nor should it be screaming at you when it's on. I had a preamp that was haunted, hissed and whined and literally made the lights pulse once. Never did figure out what was up and finally replaced it (though consensus suggests a reactance/impedance issue with the amp--not that I know what that means). Maybe you caught my poltergeist? (Yes, my best guess is no help at all).

Yea, sometimes tired tubes can fart a bit (for lack of a better word) when powering down. While you're waiting for the new ones, one thing you can do to test whether it's the tubes is, to the extent that it is reliably happening in the right channel, switch the tubes between the channels in the CJ and see whether the sound jumps channels. If it does, there's your culprit. If not... (It's also might not be a bad idea, if for no other reason, to make sure the tubes are sitting right and hadn't been somehow loosened during shipment. You never know).

As for the "zipping" noise from the amp at shut-down, unless it's really aggressive I wouldn't be all that concerned. When you power down an amplifier it lets go of a lot of juice and is sometimes audible through the speakers. Usually there is an automatic muting switch that will mute the speaker taps so that you don't have to listen to this process in its full glory (or potentially damage you speakers) as the power bleeds off, but it’s not unusual to get some sound at power down. Sometimes (rarely, I would guess) a muting switch can go bad, though. A batch of Bryston amps went out a while ago (one of which ended up in my living room) that had a tendency for the muting switch to fail (which mine did). It was not a subtle thing. Sounded like a significant static discharge, through both channels but entirely un-uniform, that would quickly crescendo hard and then fade off fairly raggedly (describing sounds is a bitch, no?). It was really loud and pretty much sounded like the speakers where being torn in half. Alarming. If you get the sound while powering down the amp (and while nothing else is on at all) I would guess what your hearing is something leaking through or around a muting switch that appears to be doing a better job on one channel than the other. Keep us posted.