My 5 year old niece won't let me forget either. When I talked to her on the phone the other day she asked if I had fallen off any treadmills lately.

I just had to laugh out loud. I think my brother put her up to asking me.
Nike+ has two parts to it. A transmitter that attaches to your ipod Nano or Touch (it doesn't work with the regular Nanos), or they also sell an armband to use it with for people who don't have a Nano. Then there is a little sensor that fits into a pair of special Nike+ shoes. If you don't have a pair of the special shoes you can do what I did and buy a little pouch that attaches to your shoelaces to put it in.
The sensor and transmitter:
A
pouch for non-Nike+ shoes:
When you walk or jog with this sensor it registers how far you walked, how many calories you burned, the speed you walked, etc. and saves it onto your ipod. I'm pretty sure you can also create workouts with it and it will tell you when your 1/2 way there and stuff like that. I haven't played with all the features yet.
There are some treadmills, elipticals and stairclimbers that are Nike+/ipod ready. The treadmills at my gym are like that. When I walk at the gym I don't need to worry about the sensor. I just plug the ipod into the treadmill and it saves all the info about my workout.
When your done with your routine you sync your ipod with your computer like you would for your music and you can upload your information to the Nike+ website. There it will track all your workouts and you can set goals for yourself. I was also able to create a little mini-me on the site and if your working out and doing good she's all happy and energetic. If you start slacking off and don't work out for awhile she'll start trying to encourage you to get on the stick. You can link the mini-me's to your facebook page, or make a screensaver out of it. I've done both. You can click on my mini-me on the sidebar on my facebook page to see my workouts.
I got mine for free after trading in a bunch of my coke rewards points for a Nike gift card, but I think they only run about $30 or so. The pouch only cost me about $5 with shipping from
Amazon. All that time spent picking up bottle caps after Yankee games turned out to be well worth it.
It's very cool, and pretty motivational. I like that I can't lie to myself about what I'm getting done.