On normal iPods, you have the option to either stop playing at the end of a playlist or just keep repeating the playlist.
On the shuffle, the default seems to be just keep playing the playlist with no way to turn it off.
I use my iPod when sleeping, and I usually fall asleep after a couple songs, so I like that my iPod always just shut off after the album was over and then it would fall asleep as well for the night. I would wake up and have hardly used any battery at all.
With the shuffle in the same situation, I wake up and its still going in the morning, even though I only have one album on there. Is there anyway to get it to stop playing when it hits the end of the playlist, on shuffle or normal order? Even a hack to the firmware would be fine, I don't think I ever want it to just keep playing, if it gets to the end of the playlist, I can certainly be bothered to hit play once to start it up again.