If the keypad is locked, then it does go off very quickly - you get the briefest moment to push the two-button combination to unlock the phone. The keypad autolock is designed so that you don't accidentally dial somebody or connect to the internet etc. if keys are accidentally pressed, and the short delay avoids the unlock comination being pressed by accidental pressure on the phone.
One unlocked, the only settings you have are to change the power-saver time-out and the light time-out in Display Settings. Lots of people complain about the amount of time modern phones stay lit for, but you have to consider that a colour screen zaps much more power than the traditional monochrome LCD screens.