If we're talking about water, electrical, gas....
First, your lease with the landlord may require that you keep utilities on, and may make you liable for damage that results if you shut off utilities. It is unlikely that the shut-off would cause damage (in parts of the country and at times of year, the biggest threat is frozen pipes) but it is something to keep in mind.
Second, whether or not you have a formal arrangement with your roommates, your past practice may give them cause to assert that you had a duty to maintain utilities until your official move-out date. It is not clear that they would suffer any actual damage from your shutting off the utilities, but who knows what they may try to claim if they're angry and decide to try to sue you in small claims court?
If you want to be safe, your best bet is to make sure that your roommates know that the utilities will be taken out of your name as of a specific date and time, and that they need to obtain utilities in their name(s) in order to ensure that service will be uninterrupted. You should also discuss your cancellation the utilities with your landlord.

