The Nike+ Sportband and the Nike+ iPod Sport Kit have a sensor that is meant to be placed in the footbed of a Nike+ shoe, but you can attach it to other shoes by using a sensor pouch.

Wendy Bumgardner © 2006The only approved way of using the sensor is to place it in the footbed of a Nike+ shoe. Nike now has a selection of shoes decorated with the Nike Swoosh and a plus sign. The Moire was one of the first produced, and I really like this shoe. The grooved sole allows extreme flexibility, so you can move as you wish -- not how the shoe wishes. The upper is very much like the Nike Free 5.0, elastic and comfortable. The Nike Moire is ready for the Nike+ iPod sensor. It has cushioning that the Nike Free lacks, and I found it worked fine for a 10 kilometer/6 mile walk on the street, sidewalk and light gravel.
This gizmo is really the ultimate in user-friendly sensor attachers/pouches. It holds your sensor securely in a plastic base and clips securely through the laces to your shoe. The feature that seals the deal, though, is that it provides a nice big button for turning your sensor on and off. Now you don't need a pen to poke at the tiny little on/off switch; you push the larger button. That's great for prolonging the battery life as well as for obeying airline rules that the sensor must be turned off during flight.

© PricegrabberMarware is well-known for providing iPod accessories. Their sensor pouch is made of neoprene and rubber to protect the sensor from the elements. It attaches under the laces of any pair of laced shoes and carries the sensor securely.
The Grantwood shoe pouch comes in a variety of colors to match your shoes. Rather than attaching over and under the laces, you lace the shoe pouch with the laces. The sensor fits snugly into the neoprene pouch, and it closes with velcro.
This is a clever design -- a little rubber sleeve for your sensor that you lace through your laces. It won't protect it from foul weather, but you would have good access to the on/off button.
Why waste money when you've got a scrap of spare yarn and some needles? Here is a knitting pattern to knit your own snug little sensor pouch. The drawback would be that it won't be weatherproof.