I cannot vouch for all types of videos, but when I play a YouTube video in UIWebView format, I can capture an event when the user clicks βFinishβ, subscribing to the type of private notification:
[[NSNotificationCenter defaultCenter] addObserver:self selector:@selector(moviePlayerDidExitFullscreen:) name:@"UIMoviePlayerControllerDidExitFullscreenNotification" object:nil];
This works in iOS 4.3 and 5.0.
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