I used the Burton AMP Jacket, which has a neoprene pocket for the iPod to sit in, and keeps all of the wires held in place.
But the best part is that the AMP jacket has buttons on the arm that are integrated into the iPod, so you can control the iPod without touching your iPod. I have one myself and totally dig it.
Click this link to see the AMP in a new window.
That's what I recommend.