Often you'll find that while you are listening to music on your iPhone or iPod Touch you are doing something else with the device.  However when you decide you'd like to skip that song that just came on without having to exit the current app to go into the music one, simply double tap the 'Home' button.  This will bring up a little window with volume controls, pause, play, next, and previous buttons for your music.  There's also a 'Music' button, which, if pressed will take you directly to the Music or iPod app.

This little shortcut is incredibly useful and becomes something that you'll likely use often as you get used to it.  It also works well from the locked screen, so even without unlocking your iPhone you can quickly change tracks and volume with out sliding across the bar and going into the music app.