I keep music, podcasts, etc., that I'd normally listen to at the gym on my iPhone, as that's the device I use while working out. I keep much more music on my nano, though, 'cause that's what I use in the car.
I put as much music as possible on mine. The main reason I got an iPhone was so that I don't need to to carry a phone and iPod around. I am hoping for a 64GB iPhone for the next release, but I will settle with 32GB. I currently have a 16GB 3G and am eligible for upgrade next spring.