I have to have the auto shut off because I would forget my head if it wasn't attached. Within the last year I came up to the sewing room one morning and found the iron flashing where it had been since the previous day. Maybe it wouldn't burn the house down, but it most certainly would use a lot of power in 15 hours if it didn't go to sleep. It saves me from finding myself halfway to the grocery store or in another state worrying about my iron.
Also, the new iron gets fully hot in under a minute. If it was on continuously that's a lot of wasted energy, probably more than having every light in the house turned on, now that we use CF bulbs. Anything that produces heat is an energy hog.
I haven't had my newest iron long enough to know how reliable it will be, so I'm no help with picking it, but it's a Singer - not the cheapest iron out there, but pretty low end. I have very little faith that the fancier ones are much better than what I got. I have read through other threads on this board about irons, and nothing seems to stand out as a favorite. Basically, the concept reached the peak of perfection at least 30 years ago, and nothing can be done to improve them except to provide a helper to do the ironing for us.
I honestly believe that the biggest effort in designing modern appliances is twofold: eye candy and planned obsolescence. The folks making these things really don't want us to be so happy that we will hang onto them for the rest of our lives because that's just not good for business. My Kenmore iron, bought in 1986, and the one before that, bought in 1966, were each ugly, clunky brown and black things that lasted 20 years before they started to sputter. The older one actually didn't fail until after it was dropped on concrete! Keep in mind that I used to do a lot of ironing in those days, too! I wouldn't be willing to bet on that kind of life for any new iron, no matter how expensive.