Hello.
I've noticed this twice on two separate occasions on two separate days with the iPod Video. I have the auto-shutoff set to 10 mins in case I fall asleep whilst listening to music in bed, so this setting should have worked regardless. But today I was just listening to music as usual, tried to switch off and it wouldn't work. Pressing and holding the play button would not shut off the player. And this worked fine this morning. And it works fine now - I just checked.
Therefore this must be an intermittent bug somewhere, having a stab in the dark maybe the buffers not emptying properly or a process hanging somewhere that's preventing the shutdown? Sadly I haven't been able to pinpoint exact trigger factors yet.
H.