I can confirm this happens on Ubuntu 7.10 with vlc 0.8.6.release.c-0ubuntu5 package as well.
I did a ps -ef after closing vlc and found that wxvlc is still running in the background which is causing the sound to continue playing. Killing it through the command-line does the trick.
I think in order to submit this as a bug, we need to go to the vlc channel on irc (dont remember the server and channel) and ask for a bugtracker login. Also, we could test to see if the bug exists in a nightly build before we submit a proper bug. See
http://nightlies.videolan.org/#debian.
If you find time to do this, please do and let me know. Otherwise, I'll probably get around to doing it later this week.
Alex