I turn off my Sony PRS 505 because if I don't, I find strange things on the screen when I come back to it.
(By strange I mean -- not what I expect to see. Like, a different page, or back in the book catalog instead of my last read page, stuff like that.)
I think I'm inadvertantly pushing buttons through the cover (I have the light wedge) and the best way to prevent that is to turn it off.