I'm (almost) ashamed to say I have three (5G iPod Vid, iPhone, Shuffle), but then I think, they all have specific uses and specific advantages.
the shuffle was what I used when I was out and about (and has now been largely replaced in that role by the phone), but the shuffle is still used for times when it could be considered more 'expendable' compared to the other two: cleaning the car, doing the lawn, working out etc.
The 5G is used as a jukebox in the car and the lounge. Although I have the phone, I still use the 5G an enormous amount. I travel a lot on business and I like the fact I can take almost all my music with me and have it in hotel rooms, company flats and on long-haul flights. It also gets used in the car with an iTrip, which I tried using with the phone but the GSM handshake pips coming through the speakers drove me nuts. It also sits in a dock hooked up to my stereo at home and works a treat. Although I buy most of my music on CD, they rarely get played. The get opened, ripped in iTunes and then just sit on the shelf.
The iPhone speaks for itself as a great convergence device. I must admit, it used to be a PITA using the shuffle if someone called me on my old Nokia. Hearing it, getting out my pocket, switching off the iPod, taking out the earbuds and answering the phone before the caller hung up was a challenge at times! I don't have to worry about that any more.
So, maybe I'm not that ashamed after all.