did you get the video ipod? that's hot, if only for video podcasts ...
i got some sony out-of-the-ear headphones from radio shack for like $15. They're good for at the gym, but they don't directly send the music into your ears, so it's kinda odd. Not good for loud places (like airplanes)
BUT!!!!
I got some noise cancelling headphones as a gift from Sprint when I went to their partner conference in Chicago! These things are AMAZING! I was watching a movie with them on my deck a couple of weeks ago - the wind was howling but I couldn't hear a thing! Soo good!