Why would an iPhone need an FM tuner? Waste of time and money when so many stations stream and you can use an app like ooTunes to listen. The nano has no Internet connection, so it makes total sense.
a) using streaming media is against my contract (the O2 iPhone contract states no streaming media at all),
b) because FM reception is, in any country in the world, much better than sufficiently good data coverage to deliver radio,
c) because I might have a little bit of appreciation that you're screwing over anyone trying to use data in the same cell tower,
d) I might want to surf the internet at the same time without eating the bandwidth or causing Safari to fall over
and e) because most importantly an FM radio will use about a tenth of the battery power of running a constant cellular data connection and my phone might last until the end of the day before running out of juice.
Indeed - with the nano having 15 real-time special effects: Sepia, Black and White, X-Ray, Film Grain, Thermal, Security Cam, Cyborg, Bulge, Kaleido, Motion Blur, Mirror, Light Tunnel, Dent, Stretch, and Twirl