Most of my music is www streaming...so my screen never turns off...lucky I have the 3000 battery which helps
It should still work if you just turn off the screen......now if you are putting the TP in "standby" that is a different story.
I am pretty sure many members use the TP like a ITouch and will chime in with their 3rd party software that are being used.
There was a thread about this awhile ago, dealing with this same issue.
EDIT:
http://forum.ppcgeeks.com/showthread...s+media+player <---Here is a Thread dealing with the issue.