Might be the application leaving it on. I know on my windows phone 7 samsung focus using GPS doesn’t really impact my battery (meaning it turns off when I leave the application).
May want to look at updating the OS. I know windows mobile used to have this issue but so far windows phone 7 has completley fixed it for me.
That was the weird part. No applications would be running, and the phone would “say” that the GPS was off. However, there was some glitch that needed a reboot to fully turn it off.
It was a known issue for the Blackjack II and the Epix, and I’m using an HTC Evo now. If it’s fixed, that’s great, but I still maintain their updates were very slow, if non-existent.