I thought it might be the steering lock thing because my Avenger used to do the same thing and a turn of the wheel would release it. More commonly, it would require that in order to start the car. That's the first thing I tried, and unfortunately, that doesn't work here. And the VX has always been in park, of course. I've never had a problem with it letting me lock into park thus far.
Moving the key to slightly different positions also has not released it. Seems like when it does come out, it is with a quick, fluid motion (i.e. not a two-stage turning it off and then pulling, but rather one continuous movement). I have never had any problem during starting, only shutdown. The key rotates fine and is not locked into a given postion in that regard - it will turn and restart the VX, just won't come out when you shut it off.
I do believe that the last time this happened I shifted into neutral and back and the key released right after. I think. I know I was messing with the shifter hoping it would do something. <shrug> I haven't done so previously and don't know if that will always work or was coincidence, and it has come out without doing that. Like Joe said was also his experience, mine is also intermittent and I go days and several shutdowns between these occurences.
It always eventually comes free, but would be real annoying when in a hurry or if it decided not to come out at all.