Why won't my iPod nano won't turn off?

Lock and the unlock your iPod, then hold down the Center button and Menu button together for 10 seconds the Apple logo should appear and it will have restarted.

Will I loose anything?

No. Well you shouldn’t, it is just a software restart, like restarting your computer.

I get this too. I normally keep trying until it works. Sometimes I have to try four or five times for it to shutdown. I don’t know why it happens.

LOL that happened to me to. :-) just do what bluemukaki said.