Just a warning about the iPods, I've heard that they're very susceptible to catastrophic failure during sharp impacts (i.e. dropping on floor, knocking with dumbbell). I would be worried about their longevity if your routine involves freeweights.
In the gym, I use a 3 year-old Aiwa Discman that is beaten to hell - old school, but it works. Only problem is finding shorts with pockets that are big enough as well as snug enough for the player.
One other tip for gym portables - the best investment you can make is to pick up a set of Koss Plugs; they're basically ear plugs with integrated headphone speakers - ear plug keeps the noise out so you don't have to crank the player volume (I don't go over 2 on the volume dial with the Plug, without, I'm around 5 or 6 and I am seriously lacking detail).