I love my new iPod Shuffle. It's super small and lightweight, which makes it perfect for working out. The problem is that one way or another I drop it, a lot. I know it has a clip but somehow it gets caught up in my clothes and ends up getting flung a few feet, leaving me to retrieve it, hoping it still works.
I don't know if you have this issue, but I am thinking about getting a Sport Cap for iPod Shuffle ($16). I already love wearing hats when working out because they keep me warm along with keeping my short hair out of my face. This cap not only has a spot for your 2nd generation iPod shuffle, but it also has a pocket so you can keep your wires out of the way too. If you don't love pink, it also comes in white and black. (Don't get freaked out by the pinwheel looking thing that says iPod on the cap, that's just the tag.)