You can set iPod to turn off automatically after a specific period of time.
To set the interval before iPod turns off, select Extras > Clock > Sleep Timer. Then select the time you want.
When you set the sleep timer, a clock icon and the number of minutes left until iPod turns off appear near the top of the Now Playing screen.
The iPod nano and Fifth Generation iPod (iPod with video) both support multiple clocks. You can use sleep timer with one clock at a time. See this document for more information on configuring multiple clocks.