There's no real benefit to buying in the apple store. You get the same box with the same ipod, usb cable, earbuds, and cd no matter where you buy it.
As has been mentioned, there may be benefits of buying outside of apple...slightly cheaper prices, tax breaks (no sales tax on amazon purchases) bundle deals (like itunes gift cards) but you probably won't get those at apple.
For ipod purchases, the value-addition of free engraving is pretty sweet, but can only be done on-line. The student teacher discount is available on-line and through brick and mortar stores with student id, and in some instances can more than offset the tax savings of an amazon.com.
Lastly, with regard to service...the geniuses at your apple store will treat you very well regardless of where you bought your ipod. Mine is 3.5 years old, was purchased at compusa, and I've taken it in for genius work twice. They dove in and solved the problem, offered more help than I actually needed, and never asked for any proof that it was an Apple store purchase...so, in my experience at least, you will benefit from Apple's renowned support by buying an Apple product, not because you buy it directly from Apple.