Is it really that much cheaper? Be aware that you might well end up paying VAT+Import duties when it enters the country.
I've found the cheapest (and best) way to buy an iPod is to wait till I'm flying somewhere and buying VAT free from Dixons at the airport. You don't need to be flying outside the EU (or even the country) to get VAT free prices.
The only reason I can think of that would make this exercise worthwhile is to own an iPod that hasn't had it's volume capability crippled due to French-sourced EU regulations. Most EU citizens are fine with the reduced maximum volume but a significant minority (myself included) find it a real annoyance.
Happily there is a software solution, iPodVolumeBoosterhttp://volumebooster.tangerine-soft.de/, which I can personally vouch for. The only caveat is that I'm not sure if it will work with the new Video iPods, but I don't see why not.
Apart from the above, if you take into consideration VAT and import duties you'd rally be much better off going to an Apple Store or John Lewis.
As I say, most EU citizens are fine with the maximum volume, otherwise cleary this would be a much bigger issue than it is.
However, for those of us not blessed with perfect hearing (in my case probably a result of sticking my head in the PA systems at Motorhead & Buzzcocks concerts in my youth) a little extra oomph enjoyed by the owners of iPods in the rest of the world is welcome.