When listening to an audio book on the new nano (and, I assume, the new Classic), if you press and hold the center button, you get access to a "contextual" menu of sorts where you can change the audio playback speed -- you can choose between Slower, Normal, Faster, and Cancel.
On older iPods, you had to go to the Settings menu to change the playback speed.
Mac OS X Hints
http://hints.macworld.com/article.php?story=20080930060153881