When you are playing music on your iPod Touch and using another application, you can still control your music without leaving the other application. Double-click the one button on the iPod Touch and it will bring up a little widget that allows you to control the volume, skip tracks, pause the music etc. Once you are done the widget goes away and you never had to leave your application.

I only have an iPod Touch, so I can't verify if this works on the iPhone too, but I'd suspect that's the case.