I used the Adidas MiCoach Armband made by Griffin.
I Bought it from Amazon for £11.99 and the Iphone fitted perfectly while allowing you to still work the apps(the phone fits perfectly without any covers, oh, and I used the Nike+GPS app)
The armband never came loose or slid down my arm and has a nice pocket for a house key. Only reason I no longer use it is I have a Nike+GPS Watch :0)