I never turn mine off properly, I always just pause my music and put it to sleep. Never had a single problem with any of my iPods whilst doing this (I've had both a first and second gen). Only one time out of the entire year-and-a-half that I've had an iPod touch have I encountered something "odd". I put it to sleep with a near-full battery, and it was nearly dead when I turned the screen on the next morning. Wi Fi was the culprit, trying to collect my emails during the night (after this I turned off Mac Rumors automatically sending me thread updates 🙂 ). Haven't had any other problems regarding putting it to sleep.