Is your orientation lock active? Double click the home button, to bring up the multitask bar, swipe to the right until you see the music play controls, the icon for orientation lock is right beside the controls. Tap on the icon to disable the orientation lock, if activated.
Annoying isnt it? I tend to find 'closing' and 'reopening' the app works. Such as this happens to me alot while txting. I'll close the txt app (as in push home button to minimise it) then reopen it. This often happens to me when I push the power button to standby the phone while an app is open.
That feature is only available for the iPad and other devices. The iPhone 4 is too small to display the apps sideways. Where on the iPad more apps can fit on one page making it available to view your apps sideways.