Nike + Sport Armband with Window for 3rd Generation iPod Nano (Video) - Black - AC1511-001
This product works great. It stays snug on my small arms and doesnt move will running.  Its a little difficult to slide the nano into the back opening the first few times, but works great now and doesnt move around.  Volume controls work through the plastic window without any problems.  The only downfall that I found was that moisture builds up in the case when working out.  I don't know how much this will effect the ipod, but it could be a little risky, especially if you sweat a lot.