Have you heard of the iPhone shuffle? If not, go to youtube and search "iPhone shuffle" click on the first video! Its hilarious! It had me falling out of my chair, I was laughing so much. Classic Apple parody! A must watch for any Apple lover.
I use a 3M velco-type product. It is more plasticy and sort of snaps. It is also transparent so you can't really tell it's there when the devices are not attached. I forget what it's called specifically.
That's not the real iPhone Shuffle. I've seen it, and actually had the chance to use it for a 3 week test session, courtesy of Jeeves Stob who works at Apple (he claimed).
It's nice and small, but the only problem I have with it is that there are no numbers for dialing. It just dials a random person every time you use it. But hey, life is random.