On the Iphone, the actually media player is seperate from the rest of your phone. I have all my music on it and find it kind of convenient because if I ever just want to listen to music, it's always on my phone and I can just put some headphones in and listen.
I was the same way where I wanted to have a phone and an ipod, which I did, then I bought the iphone and realized how ridiculous it was for me to think about having to separate things to carry rather then have it all in one.
I dunno, I prefer just having the iphone myself.
Cheers