Keep it bundled up. In use, your iPod's battery works best between 32F to 95F (0C to 35C). For storage, Apple suggests that range extends to -4F to 113F (-20C to 45C).
If you're jogging in sub-arctic temperatures (or, to be more realistic, sub-freezing ones), consider keeping your iPod in a pocket or "iPod sock" to insulate it from the bitter cold.
Apple says to "keep iPod comfy". We appreciate their highly technical phrasing for this important operational issue.