The iPhone / iPod music player volume widget behaves like this - you have to start your finger drag on the little round nubbin. You then drag it left or right. Dragging your finger up or down off the slider doesn't adjust the volume, but doesn't cancel the adjustment either, and I've found this to be a nice way of adjusting the volume a tiny amount - dragging diagonally increases the distance that you have to move your finger to effect the same change in volume, so it's more precise.
If you put your finger anywhere else on the volume widget, nothing happens. If you drag your finger onto the nubbin from somewhere else you don't start changing the volume.
The video player and YouTube volume widgets work the same way.
The iTunes Remote volume widget works like this - the volume will snap to wherever on the slider you put your finger down. Once you've done this, dragging the slider works as in the local music player. It looks identical to the slider in the music player app.
A slider control put into a blank view in Interface Builder works like the remote application - the slider position snaps to where you touch the slider. But it looks different from the volume control slider - the IB slider has a matte, concave look, wheras the volume control has a shiny nubbin.
The 'Brightness' control in the settings app is a slider that looks and behaves like the Interface Builder slider.
On the whole, I prefer the behaviour of the remote app, with the snap. And I prefer the appearance of the Brightness slider. But it's odd that there are already three different slider widgets on the iPhone.