Sometimes, you just have to hear the good part again or watch that scene in the movie once more because it was so cool the first time. If that's the case, the iPod gives you the controls to do so.
Hold down the Rewind/Previous and the Fast-forward/Next buttons on either side of the click wheel to zip back and forth through the song or video clip.
If you want to get to a specific time in the song or video, press the iPod's center button and then use the wheel to scroll over to the exact spot in the track's onscreen timeline. For an audio file, a small diamond appears in the timeline when you press the center button so you can see where you are in the song.
This jump-to-the-best-part technique is called scrubbing, so if a fellow iPodder tells you to scrub over to 2:05 in the song to hear that great guitar solo, the person's not talking about cleaning the bathtub.
If you find the iPod's backlight doesn't stay on nearly as long as you'd like, you can change the amount of time it shines. Choose Settings→General→Backlight (on the Nano), or Settings→Backlight (on the Classic). Scroll to the amount of time you'd like to see the light: increments between 2 and 30 seconds, or Always On. That last one's a real battery killer, though, as all that illumination needs power.