This highly annoying problem started recently on my MBA: when I connect it to my external display and close the lid, the screen doesn't turn off. The same occurs if I wake it up from sleep into this state (i.e. the trigger for the state change isn't the closing of the lid but rather the connection of the power cord and of a USB device).
The only change in my system recently has been installing the driver for a Sewell USB-to-DVI adaptor. However, after the installation of the driver there have certainly been some cases in which the internal display was correctly turned off when the lid was closed.