Apple support says:
"Press and hold Select for five seconds (or go to Settings > Sleep Now on Apple TV (2nd generation), or Settings > Standby on Apple TV (1st generation)"
As JG says you can't power off the unit without pulling the plug.
Apple TV uses very little power, letting it go to sleep on it's on will not cost you much at all. If you do wish to immediately out it to sleep, hold the Play/Pause button for 5 secs.
Thanks for the info. I lost my remote and today I figured that I could use any standard remote on my Apple TV second generation. I did not know how to turn it off or on, with Apple Remote or with standard remote.
After reading this info, I pressed PLAY for 5 seconds on my DVD remote which I paired with Apple TV and VIOLA!! It turned off!
I was able to turn it ON that way too. However, I found out when I turn it on with DVD remote, it comes to the screen that says "Connect to Wi-Fi", I cannot turn it off from here. But once I use my iphone or ipad to get into an active screen (with all the fancy icons), I am able to press PLAY for 5 seconds to turn it off again!
Thank you again