If you're playing a purchased game on your iPod and the battery is depleted, the game in play and any potential high score will be lost.
Check your battery icon occasionally while playing a game. If the icon turns red, connect power immediately. If you play until no power remains, the current game's state (and its potential high score) will be lost.
Note: Not all games display the battery icon at all times. Some have the option of turning it on or off. Some only display the battery in the menus.
It is best to charge your iPod fully before playing a game.