I load up a Shuffle for when I run, bike, and ski. They're small, light, and damn near indestructible.
I have a nano that I use for everything else, ie. travel, work, etc.
I found that I was almost never willing to futz with the controls and crap for the music while I was being active, so just doing a fire and forget with the Shuffle works great, and the piece of mind that I'm not going to destroy it if I bail into a log on a decent, or crush into the ice on a missed landing is priceless.
-Nathan