Repeated fault (Shuffles won't play): have others experienced this?

The fault: the iPod Shuffle (2nd gen.) syncs happily with the host computer, and downloaded tracks will play through the computer. But when I disconnect the iPod and press Play, all I get is the green-orange-orange sequence that says "Please Restore me". Restore does not cure it, nor does Reset using the iPod Reset Utility (downloaded separately from Apple).
This has now happened to me on THREE new iPod Shuffles. (Since my first purchase in September 2008, I have had four replacements from Apple, so five Shuffles in all - is this a record? Numbers 3-5 all failed with the problem just outlined - no. 3 after some use, nos. 4 and 5 out of the box. Nos. 1 and 2 failed but not with this fault.)
Normally I sync with iTunes on a PC (XP Home) but I have also synced no. 5 with my partner's iMac (after resetting with the OS X version of the Reset utility) and the result is the same.
Just now the problem is with Apple and the dealer (iPod no. 5 was couriered directly to me by Apple, nos. 2-4 were replacements through the dealer).
It looks (to the Apple technical support folk) like a hardware problem - so I'd be interested in knowing if any other recent purchasers of Shuffles have had this problem. I'm in Australia, by the way.
Thanks.

Following further tests (I even have two Shuffles to test with now, as no one has asked for no. 4 back yet!):
Thanks kbeartx. I now think you're 100% right. I was looking in the wrong direction, being quite unaware of 'skip when shuffling'. I'm posting a fuller explanation of how my dealers and the Apple technical support staff failed to ask the right questions (and the Shuffle and iTunes documentation could be improved) but here are the questions I and they failed to ask:
A did the error code flash when you tried to switch the iPod on, or only after you had switched on and then pressed play?
B are you using podcasts?
C (if so) is your Pod set to Shuffle? (if so, try play-in-order to see if it makes a difference)
(The point of A is that I now understand that there are two error codes used by the Shuffle - well-separated in the list in the pdf documentation - but they occur in different contexts, one when you switch the Shuffle on, the other only when after switching on you press any button. [OK they also last different durations, but because I was not aware there were the two I did not reach for the stopwatch...])

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