I have the 2nd gen nano and the nike + armband and they work fine together, if not better. I always found with the 1st gen that the headphone port wasn't in line with the gap in the armband. But now that apple have moved the port further to the right it lines up perfectly!
I'm going to thread crap or hijack or whatever you want to call it.
The Nike kit, perhaps someone has already found this out, but can you use the nike kit without nikes? I wear new balance, they are far better for me and my foot type and step than Nikes. So far I've yet to find a pair of nikes that work well with me. I get them fitting at a running shot and I pay about $150, but maybe I'm not paying enough.
Anyway, I'd love to use the nike kit, but I cannot seem to see if somehow I cannot manipulate things just enough to use the sensor in my new balance.
I did this to store the receiver in a non-Nike shoe. I cut a slit in the tongue of the shoe, and slipped the receiver down to the end of the tongue. It's worked great, just as accurate, even better after calibration. Just be sure you have the right side up =)