It's good when you're running/exercising in general and can hold more than the shuffle . It's lighter than the iPhone/iPod touch.
The nano is for listening to music while exercising.
Although I just checked the product announcement, it appears they removed the clip! Probably want you to buy some armband or clip sold separately now.
Now that the Nano has bluetooth (and podcasts - podrunner is still quite good), it'll make an even greater running iPod - though I feel fine with my iPhone in my running short pockets.
Plus isn't this the only iPod with a FM radio? Again key market is folks working out - many gyms have audio broadcast on internal FM channels for their TV sets.