The Shuffle is great if you want the smallest lightest iPod, don't have too many songs, and don't mind just playing them in random order. If you want more storage, the ability to have different play-lists, or the ability to choose a particular song, artist or album, then the Nano is the way to go. It's still small enough that it doesn't bounce around in your pocket. It also plays videos if you ever want that option, although on a small screen, so not bad for some video podcasts but watching movies is a stretch.
I also recommend Sennheiser headphones, as a previous poster did. I have the PX-200 model which is a small over the ear setup. I find I can't keep the ear bud types in my ears while working out or running, these stay on my head and have great sound.
Music with a good strong beat is a great motivator for running faster/longer, I highly recommend it.