If you are looking for a way to permanently disable this feature so you don't have to remember the extra "uncheck the box" step every time you turn your machine off, you can simply deny OS X access to the file it uses to store your session state.

Run the following commands:

# Make the file owned by root (otherwise the OS will just replace it)
sudo chown root ~/Library/Preferences/ByHost/*

# Remove all permissions, so it can't be read or written to
sudo chmod 000 ~/Library/Preferences/ByHost/*

If you wish to undo this change later and re-enable the feature, perhaps because you've suffered brain damage and now find boot-looping amusing, simply delete this file and the OS will recreate it.

# Re-enable El Capitan's obnoxious "relaunch all the things" behavior
sudo rm -f ~/Library/Preferences/ByHost/*