EDIT:

I figured this out, see first answer below

I have a fairly simple test config for an NGINX server that proxies to a Tornado server:

    server {
        listen       80;
        server_name  _;

        location = / {
            proxy_set_header   X-Real-IP        $remote_addr;
            proxy_pass   http://127.0.0.1:8901/;
        }

        error_page  404              /404.html;
        location = /404.html {
            root   /usr/share/nginx/html;
        }

        # redirect server error pages to the static page /50x.html
        #
        error_page   500 502 503 504  /50x.html;
        location = /50x.html {
            root   /usr/share/nginx/html;
        }
    }

Simple enough, when I access http://myserver.com/ it all works fine, but if I access http://myserver.com/somefile.html it triggers a 404, and in the error log it says

2011/06/06 18:39:24 [error] 23948#0: *100 open() "/usr/share/nginx/html/somefile.html" failed (2: No such file or directory), client: 1.1.1.1, server: _, request: "GET /somefile.html.html HTTP/1.1", host: "myserver.com"

Which looks as though NGINX isn't passing /somefile.html on to the proxy. Going directly to http://myserver.com:8901/somefile.html works fine, and if I create /usr/share/nginx/html/somefile.html NGINX shows the contents of that file instead of proxying to the correct server.

I can't remember this ever happening before on any of my NGINX servers so I'm completely confused

If it's of any use, it's NGINX 0.7.67 on RHEL 5.5