I've got a silver 4GB Nano (not the video one yet) for the gym because the sound level out of the iPhone's headphone jack is nowhere near what it needs to be. The Nano's sound is much louder. But that's the only gripe I have with the iPhone...well, that and the battery life if you're online with it. Sucks it up fast. I can run it down in less than 5-6 hours if I'm really active on it, but I mean that thing must require quite a bit of power to fuel. You've just gotta keep a charger everywhere you're gonna be (home/work) and one in your car.
Only thing is now that I think I'm still gonna have to take both of them into the gym with me because I need the iPhone to play on the internet and text while I'm on the treadmill while I listen to the loud music out of the Nano on there and while lifting weights. You know texting is the newest best aerobics diversion, followed by internet. They're putting browsers on treadmills now I hear.