My iPod Nano (old plastic scratch attractor version) and the iPod shuffle gumstick versions came with manuals, and iTunes on a CD. And I remember my friends first gen, second gen, and 4th gen iPods coming with the same things. In each case, the manual is pretty small, but explains how to turn it on and off, control the music, and to use iTunes to add music to it.

I can understand the desire to shrink the packaging like they did with the new Nano, but it is odd they didn't load iTunes on there. Maybe they manufactured the devices before they had a final version of iTunes 7 ready, as apparently this last round of iPods was rushed to beat the Zune announcements.