One question a lot of people ask is how to prevent the device from turning itself off?
You can either call the SHIdleTimerReset function in aygshell.dll:
private static extern void SHIdleTimerReset();
See here for more information on the API: http://msdn2.microsoft.com/en-us/library/ms835757.aspx
Or use the already wrapped method defined in OpenNETCF.WindowsCE.PowerManagement.ResetSystemIdleTimer();
Of course the function needs to be called periodically before the timeout threshold. http://www.opennetcf.org/