Check out my review of the Boxwave FlexiSkin with Armband for the iPod nano (posted on Digital Tech Life) and see why I highly recommend it.
The silicone covers the entire iPod with the exception of the screen. Unlike a few cases, the click wheel is covered, but the silicone is thin enough to allow you to control the iPod with the same amount of ease as if your nano was naked. The silicone is clear enough around the clickwheel so that you can see the directional symbols and menu lettering. In a sign that Boxwave pays attention to detail, the area covering the clickwheel is slightly indented. This makes a big difference if you have the case under your jacket or shirt. You can feel where the clickwheel is without having to look at the iPod.
Read the full review.