I'm not going to spend a lot of time on this, but I will say, as matter-of-factly as I can, that the whole Nike + iPod system is awesome. I got my kit (along with a new pair of Nike+ shoes) about a week ago and have been very impressed.
There's really no setup — just put the transmitter in the left shoe (or hack it to your shoe if you didn't get a pair of Nike+ shoes) and plug the receiver into the iPod. Done.
One of my favorite things about the system is the voice feedback, which is activated whenever you press the iPod's center button; it dims your music and tells you how long you've been running, how far you've gone, and your average pace (click the "voice feedback" link on this page to hear what I'm talking about).
Another thing that kind of blew me away was the Nike+ website that aggregates all of your data and spits it back to you through beautiful, meaningful graphs and charts. You can see a demo of the whole system by going to the site, clicking on "My Runs," and then clicking on "Preview Nike+ runs now."
I can highly recommend this product if you've already got a nano and like to run.