I'm tickled that you're talking about this... I have had the same experience (sometimes shells come off easily, and sometimes I have to sacrifice precious egg-white to remove the shell). I have thought that this might have to do with various things, some of which I have little way of truly monitoring: age of the egg, health of the chicken that laid it (do different nutrient sources result in healthier eggs, and better separation of white and shell?), whether or not the water in the pan was really boiling or rather just on a low simmer.

Like raaga123, I find that a cold water back immediately after removing the eggs works quite well, but in my case there's a compromise: I like soft-boiled (probably more like medium-boiled, actually) eggs, and I spread the yolk on toast like butter. So when I cool the egg down too much, the yolk is cold, and that's just not quite as yummy. For truly hard-boiled eggs, which I take to work as a snack, I too have found that refrigeration does the trick.