hmmm maybe a funny coincidence, but my Mk2a does this occassionally (2% of the shutdowns) in my '98 BMW M3 (nice car btw). Never really listen to the radio, but sometimes I will turn off the car and the empeg will keep playing mp3s. don't think its a wiring issue, but the factory amp is still powered and pulling it out always stops it.
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1998 BMW ///M3 30 GB Mk2a, Tuner, and 10 GB backup