I use iTunes when I'm just at home but when I'm out, you can bet I have my iPod with me.
I don't like making playlists. I usually shuffle or just go directly to what I want to hear.
For cds, I play it with my cd player. I don't really skip tracks.
I have a separate mp3 player though that I use whenever I'm in the gym and I just randomly place several songs/discographies there and change it every week.