How about a progress bar which indicates the shutdown process?
I would recommend this, because it is kind of annoying to double- or triplecheck the effect of the long-pressed PLAY button on my iPod nano. After the keylock has been released, it always takes a while (or a change in volume) to let the iPod react to any keypress at all.
So whenever one wants to shutdown the iPod, one has to stare at the display for a number of seconds until the words "shutting down" finally appear.
Instead of this I'd love the idea of a progress bar that appears when the PLAY button is pressed longer than let's say 0.3 sec, fades out the music for 2 to 4 secs and then shuts down asap (i.e. wait for HDD-models' disc activity etc). While the progress bar grows (and the music fades out simultaneously) one should be able to interrupt the procedure by releasing the PLAY button (and fading back to the original volume).
Okay, this was sort of hard to describe, but I can't imagine anyone who could hate this idea :-)