Hi PLLG,
Thanks for visiting Apple Support Communities.
Start with these steps if you do not hear sound from the headphones that came with your iPod nano:
iPod troubleshooting basics and service FAQ
http://support.apple.com/kb/TS1382
If your iPod's headphones don't work or have static or garbled audio, try connecting them to any other 3.5 mm stereo headphone jack, like the one on your computer. If the issue with the headphones persists, replace them. For an iPod under warranty, you can order a replacement online. Otherwise, check out the cool headphones at the Apple Online Store. If the issue appears to be with the iPod, try resetting it. If that doesn't work, then restore the iPod with the latest iPod software using iTunes 7 or later.
Cheers,
Jeremy