Well, it depends on what you want.
There's basically five routes you can go.
1. The iPod Shuffle
2. The iPod Mini
3. The iPod
4. The iPod U2
5. The iPod Photo
1. The iPod shuffle is the least expensive model, at about $100. However, you can only get it with 512MB or 1 GB of storage space, which is not too much. There is also no LED display... so song playing is completely randomized. If you exercise a lot and do not care what song is next, then this could be right for you.
2. The iPod Mini is the entry level iPod with an LED screen. It comes in many different colors, and comes in either 4GB or 6 GB of storage space. They are very compact and look nice, but personally, I'd rather spend a little more money and get a lot more storage space with the higher models. (Mini Starts at $200)
3. The iPod is the most common model. This comes in any color you want, as long as it is white. It has an impressive 20 GB of storage space and costs $300.
4. The iPod U2 is really just an iPod as listed above, also at 20 GB... but it looks cooler of course. You'll be paying extra, as it goes for $350. However, with purchase, you will receive a $50 gift certificate towards the purchase of The Complete U2 collection.
5. The top model is the iPod photo. The iPod photo uses a color LED screen, and aesthetically looks much nicer. The iPod photo can also display any pictures that you store on it, as well as displaying the album artwork for any song that you play. This model is availiable in 30 GB and 60GB (!) variants, costing $350 and $450 respectively.
I hope that helps.