When you close it, it will automatically sleep-- no way around it. But if you plug in a USB device when it's closed, it should come awake with the display off and everything still closed. This is often done to run it on a separate display. At least, the "newer" ibooks (white) do this, but I never tried it with the clamshell.
If you're running some sort of app and want to close it, though, your app will stop when you close.
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If you're running some sort of app and want to close it, though, your app will stop when you close.