According to the Japanese government (and one random guy from Atlanta), Apple's iPod Nano suffers a battery defect that causes it to overheat, and occasionally, burst into flames.
Several reports of it catching or starting fires have been logged, and it's also inflicted a handful of minor burns.
So if you're listening to something really hot, you may want to scroll to a chiller playlist or go unplugged for a while, lest you singe some flesh on your mp3 player. Because that would be a lame wound to have to explain to people.