I found this linked all over the net but I think it's pretty cool so I am posting a link to it here. It's a homemade mitten with a built in pocket for your iPod. The coolest part is that the iPod actually warms your hand while you listen to music. It looks like it's falling out in the image but the iPod fits completely in the pocket - it's shown halfway out here for illustrative purposes.

Knitted iPod Mittens with PDF instructions so you can make your own. Now, if only I knew how to knit...