I'm looking also, I've used the shuffle and nano for various activities but I always had my phone with me for the kids, and sometimes work. Now that I have an iPhone I'd like to use one device.
I've used combinations of heart rate monitors and gps units but the phone can do that and more so why not use it!
Bose had a combo arm band and headset pack, supposedly waterproof, I went back to best buy to check it but not in stock, anyone try that?