One of the first items I had purchased for my first generation iPod nano was a protective case from Countour. The case cost me $19.95 from the Apple on-line store and it was money well spent. Each time I accidentally dropped my iPod from a desk or have it fall from my pocket as I bent over to tie a shoe lace it's value was realised. This hard plastic case protected my nano from what would have been certain death.
Since I "upgraded" to a second generation (aluminium) nano I plan to do the same. SkatterTech has a great review of the Agent19 nanoShield. It's already in my Apple shopping cart. I will wait until Black Friday to purchase in case Apple offers any discounts.