We've mentioned the Tavo iPod gloves before, but if you want something a little bulkier - and warmer, from the looks of them, check out the iGlove Multi from Marmot. The iGlove Multi (we're really not sure what the "multi" is supposed to mean) is a pair of fleece gloves that are "Click Wheel compatible." They claim to be warm enough to wear by themselves, but thin enough to wear as a liner under your even warmer gloves.
So what the heck makes them "Click Wheel compatible?" Glad you asked. The iGlove Multi uses the patent pending Playpoint™ technology on the thumb and forefinger tips, which apparently makes for better Click Wheel contact than your wool mittens. The rest of the glove features silicon printing for enhanced grip and durability.
I like the concept of an iPod-friendly glove, in general, but I'd rather see a glove with a warm, snuggly, waterproof iPod pocket built-in and those fancy fabric iPod controls on top. Now that would be a sweet way to hit the slopes.