I HATE armbands working out in the gym. Annoying feeling, annoying headphone wire, and sweaty=not for me.
Honestly, I've found the Incase Slider I have on the phone to keep the phone protected so well, that it just stays in my pocket of my shorts. I put the wire inside my shirt so no wire is hanging around too.
I'm thinking about getting a horizontal holster though to slip on my shorts to work out pocket-free
I ran with the Nike+ holding the 3GS to test it out and loved it but realized holding it on longer runs was likely gonna cause it to drop and using it while in motion wasn't the best thing. I'm not one for armbands either. Putting it in a pocket was OK but not secure so I got a simple SPIbelt which is great because it is like a micro fanny-pack, except the storage compartment is in front of you, and it is small enough to wear under your shorts and it doesn't bounce around so you don't feel it much. The downside to this is that all you have is control with the clicker on the headphones. This lets you start and stop the workout but no power song activation and no way to invoke the spoken feedback. My final piece of the puzzle that fell into place was the Nike+ AMP watch. It wirelessly gives you control to start/stop the workout, change volume, previous/next track, power song and the all important spoken feedback. I couldn't be happier with the way it all works. iPhone secured away out of sight and controls still what I want them to be from my wrist. One word of caution is the watches seem to go through batteries pretty quickly and may even need to be replaced right out of the box as I found with mine.