Mine stays in a leather beltclip case (from the Apple store) that I usually slip into my pocket. I wear RadioShack Pro 35 headphones so unless you had x-ray vision, you'd never know if I'm listening to my minipod or my MuVo2.
while working out, I wear it with the supplied beltclip, clipped to the waste band of my shorts. I wear on the back to the right side, just above where I'd wear a wallet. The head phone cable runs up my back and over the shoulders. My shirt covers the mini for the most part.
Other times, I'll just wear the mini without belt clip in the small coin pocket of my jeans. It fits just right, as if it was made for eachother. Again my shirt usually cover the mini, except for a few flashes of green when I move or stretch.
in a silk/fur pouch near my genitals, so they stay nice and safe and warm. If my balls dont get banged up, neither will my mini.
BUT if my mini gets banged up, my balls do to, so its either win all or lose all.
sigh, i wish they had minis in canada, because then this would be true.