When it comes to iPods, I believe that the iPod Nano and iPod Touch are your best options. If you want a cheaper model get the Nano, and not the Shuffle - with the Shuffle you can't choose which song and want to play, and that will almost certainly get very annoying after a while. The iPod Touch is really cool and not much more expensive than the Nano, and you can use it for internet too. So if you're going to use your iPod a lot and don't mind the larger size, the Touch is a good option.
iPod Nano 8GB - Yellow
The iPod Nano does not turn off, it goes 'asleep' automatically after a minute or two. To manually make it go to sleep, hold the Play/Pause button down for a couple seconds, and the screen will turn black. That means it is asleep. The iPod will turn back on ('awake') if any button is pressed. To have the iPod stay asleep, put it on 'hold' to lock the keypad.
The Hold switch at the top of the iPod Nano locks the keypad. The keypad is locked when the switch is 'on', moved to the right (when the red color shows).
To import a playlist from another format or export a playlist to another format, go to File>Library>'Import Playlist' or 'Export Playlist'. To convert a Windows Media Playlist (*.wpl) into an iTunes playlist, open the playlist in Windows Media Player and go to File>'Save Now Playing List As...' and save in M3U Playlist (*.m3u) format. Then open iTunes and drag and drop the .m3u file under the Playlists tab of iTunes.
In order to convert from file formats such as MIDI and WAV into the iPod compatible .mp3 format, go to Edit>Preferences>General>Import Settings. Then select the format you want to convert to from the drop-down, and optionally edit the settings. Then hit OK and close the Preferences, and open the file you want to convert in iTunes. Right-click on the file and choose 'Create ... Version', e.g. 'Create MP3 Version'. This will create a converted version in your iTunes folder.
Changing the order of songs in a playlist is a bit non-intuitive - first sort by the leftmost column (don't click the arrow which expands the album artwork). Then you can drag and drop the songs into the order you want.
To sync with your iPod, connect your iPod and go to File>Sync or go to Devices>iPod name and hit the Sync button.
To change your iTunes Music folder, go to Edit>Preferences>Advanced.
To remove duplicate songs from your library, go to File>Show Duplicate Songs. This will show songs with the same name - although they aren't necessarily the same song. For instance they might be different songs from different artists. You will have to analyze the metadata and uncheck or delete songs as you see fit. To go back to viewing all songs, go to File>Show All.