Sure, the latest iPod nano is crazy-cool, but it's still another gadget you have to tote around. Why not use the phone that's already in your pocket? Plenty of models can pull double duty as MP3 players, meaning all you need for mobile-music goodness is a high-capacity memory card.
eCost has a Patriot 4GB MiniSD card for $26.99 (after a $20 mail-in rebate), which should hold about 1,000 MP3s. Just make sure your phone does indeed have a MiniSD slot and not a MicroSD slot, and that it supports SDHC cards. The Patriot comes with an SD adapter so you can easily copy tunes from your PC to the card (which is much, much faster than trying to transfer them from PC to phone). Rock on!