Swipe left to get to the iPod controls and you’ll see that there is an icon with an arrow on it. Toggle this to lock your device in or out of the current orientation.
Here is a tutorial on how to do this, along with a description of the iPad lock switch on iOS 4.3:
Because of the technique, this works while you are running Live Cams. If you are watching the thumbnail screen or full screen video and want to stay in landscape mode, just hold the device on its side and follow the instructions above.