I've never had a shuffle but had a nano years ago (before I had my iphone). I loved it to bits and would really recommend them, when I had it I don't know how I managed without it before! But I'm a bit of a gadget freak like that.
I don't think the shuffle has a screen, which puts me off as I think you have to plug into iTunes on your PC to make new playlists etc. With the nano you can make playlists up on the nano itself as you go along. If you're not that fussed though the shuffle would probably be sufficient for you.
I have a shuffle & it has 2 settings : playlist, or random. If it's set to playlist you can easily play /listen to what you want. Shuffle & the latest nano are v.similar size. If I was buying again I'd pay more for nano with extra functions like radio. Can't beat £40 for the shuffle tho. Makes the gym a pleasure!