When buying or after you receive an iPod or any expensive gift for Christmas, have it engraved or label it somehow. One piece of contact info will allow someone to (hopefully) contact you to return it. A friend recently lost $1,200 worth of camera equipment. No one has a way to contact him because he didn't have it labeled in any way. When replacing the equipment, he chose to have it engraved.
Also, if stolen, it makes it more complicated for the thief to resale as they'll have to replace the engraved part first. (Or etch it off but the damage will look suspicious.)
Even simple labels from a label maker work, easier to remove, but they allow your contact info to be found. Whitney Hoffman labels everything this way after losing her Zoom H2 on the beach this summer.
Please label your toys this holiday season. It might not happen to you but better safe than sorry, right?