If I am listening to all my music and I hear a song and I think it would be great to add to a certain playlist, is there anyway to do this from the iPod itself, instead of having to remember this from iTunes.
You could add a song to the on-the-go playlist as it is played. This requires an (at least 4th generation) iPod with a screen, shuffles are not supported.
To add a song to the on-the-go playlist simply press the center button for some time until the blue bar flashes. Of course, the on-the-go playlist is visible in iTunes.
More information can be found here.