If your phone is locked but you'd like to listen to music, double click the home button. It pulls up simple iPod controls: play, skip forward, and skip backwards. (The double click also works to bring up these same simple controls if your phone isn't locked.)
You can also use the headphones to control your iPod. Honestly, I didn't realize the small microphone included on the headphones is also a button, but it's extremely convenient to use if your phone is in your bag or pocket. When listening to your iPod, clicking the button on the headphones once plays or pauses the current song. Pressing twice skips to the next track. The headphones included with the new 3GS phones also have volume controls, but these headphone shortcuts work with both 3G and 3GS headphones.