You could just set the sleep timer to something like 180 which should be 3 hours. I don't think it would take you 3 hours to fall asleep . (I know that's obviously not a solution and will look into the graceful exit when I get some time.)

@Zappa,

Those recommendations are good ideas and there was another good idea on the main pyPianobar page in downloads that wanted a history of whats played. When I get some time to look at all this again I can try.

The FM Transmitter, however, I have no way to test or know how since I don't have a phone. So the auto-start and the history I can do but still SOL on phone-specific features.