Yes, you can connect the raspberry direct to your PC without router.
For this is necessary that the raspberry and your computer are on the same subnet, and they both have a static ip configured (And an Ethernet cable connected between the two devices).
An ideal configuration would be the following:
Raspberry on eth0: IP: 192.168.1.10 SubNet: 255.255.255.0
Your PC: IP: 192.168.1.11 SubNet 255.255.255.0
To set a manual IP on raspberry you can follow this guide
In your PC you can set a manual IP in the network adapter settings,and the procedure depends on your operating system.
When you have configured the two static IP, you can connect to the raspberry via SSH using the IP set (192.168.1.10).
Another simpler method is to attach on GPIO a button to turn off the raspberry! Take a look here!