Though I usually recommend the Shuffle for gymgoers -- having just become one myself fairly recently, I hit upon an alternative solution that might be of interest to readers.
We have an iPod shuffle (current model) in the house, but my wife refuses to let go of it. That meant I needed to use either my iPhone or an old (very old!) 3rd gen original iPod.
I feared for the old iPod's safety, and though the iPhone is rugged and flash-based, I didn't feel like running with it clipped to me in some fashion.
Solution: bluetooth headphones. The iPhone stays safely in my gym bag and I can even answer an incoming call (all out of breath but still!). I can adjust volume and do the next/prev thing from the headphones so I really don't need the iPhone near me. Plus the added benefit of not having wires jangling all over you, can turn your head/move freely, etc.