On Windows XP there was a "hibernate" mode, which worked well.
On Windows 7, there is a "Sleep" mode, that does not work properly. I've experienced data loss when in "Sleep" mode, with all the active programs being closed and progress not saved, when turning the computer off.
Is this a know bug?

Is there a way to turn AutoPlay off?

Haven't had any problems with sleep or any Bug like that. BUT for the autoplay question .... Open your control panel and there IS an autoplay control where you can adjust settings.
Are you saying you have OPEN programs and put the computer to sleep ... and Then shut it off??
If so, not a good idea because those programs would be still open eventhough sitting idle with the sleep mode but if you don't shut them down and save before turning the computer off then those programs are going to have the plug pulled on them and not save any work in progress.

I've been using sleep mode for ages, and had no problems with it. Seems like you've got some weird memory bug. Or a rouge default option.

Win7 has 2 low power modes, Sleep and Hibernate.
Hibernate works just as it did on XP, with the memory state been written to the hard drive and then the computer powers off. You can safely remove power cord and battery, and when you reconnect them you can continue as you were.
Sleep keeps most of the data in memory and not in hard drive, thus requires some power to exist. If you remove the power cord and the battery, it will be treated as an unexpected shutdown, thus data loss may happen.

I've been using the sleep command as a shutdown for a while now, and only problem I had was when the computer drained the battery and thus shut down.

It's not a bug. Windows 7 knows several sleep modes, too.

1. Sleep mode -> the current state is saved into the RAM, computer shuts down everything EXCEPT the RAM and restores the previous state from the RAM if you wake it. That's what you do. Shutting down your computer while it's in sleep mode will result in losing the current state.

2. Hibernate -> the entire content of the RAM is written onto your HDD, computer shut's down completely. If you wake it, instead of booting up from scratch, it writes the backup back into the RAM and restores Windows' previous state. That's what you wanna go for.

Edit: ninja'd

Rogue. Rouge is what women use to paint their cheeks, and if he has a makeup option as a default option then he has more serious problems...

Curses! Them Rouge Angles of Satin gone done it again!

Well then it's a whoring default option.

How would I do that in the first place? If I hit the power button then the computer sleeps it will wake it up, not shut it down.

Found the AutoPlay control at last. Turns out the default for Control Panel is "View By Category" which is useless, and I had to change to Small or Large Icon to see all the Control Panel options.

BTW, for some reason Hibernate (which I used all the time on my old Windows XP machine) is not an option with my version of Windows 7 Pro. What gives?