If I'm planning to use it within a few hours or the next day, I just put it to sleep. If I don't plan to use it for more than 24 hours, I shut it down.
Now, some people will say shutting down and then booting it back up will use a lot of the battery. Whilst this occurred a lot with 1.1.1 and 1.1.2 firmware, the problem appears to have been fixed long ago (I haven't had the problem in some nine or so months). In fact, I booted up my iPod this morning and the amount of battery used was negligible.