The great part is that it's flexible plastic, so that, unlike hard plastic cases, you can easily adjust the volume/advance songs/etc. while it's still in its case. It also has a heat-sealed headphone jack to keep it totally waterproof, up to a depth of 10 feet (provided you have waterproof headphones to do that as well). It's sized for the iPod Nano, but also works for any other small electronics, such as a small cell phone, other MP3 player, or a digital camera, and retails for a reasonable $20 with free ground shipping.
A larger size is also available for only $20, which fits full sized iPods, camera and larger phones, again with free ground shipping.