There are two common touchscreen technologies out there - resistive and capacitive.
The iPods use a capacitive screen - they tend to be more expensive and tend to be best for highly interactive devices. The downside is that they can't be used with gloves or simple stylus. It works by detecting the position of your finger when it changes the electrical characteristics of the screen. You generally have to use the pad of your finger to get it to work.
The resistive technology is less expensive, and is more common in less interactive devices, and was very common with older PDAs that typically used a stylus. A resistive screen is actually two thin membranes - when you press, the two membranes touch and the position is determined by measuring the altered resistance of the membranes. The smaller the touch area, the better, which is why many resistive screens use a stylus - when using your finger, you should use the point of your finger or a fingernail. If you use the pad of your finger, you end up mashing down a large area and the device can't really tell where you're pressing - it would be like trying to write your name with a sponge.
People that are used to one technology often find it tricky to use the other. Having used chumbys a lot, I initially found my iPod Touch tough to use since I would try to use my fingernail to no avail.
So, the bottom line is - use the tip of your finger or fingernail to use the touchscreen, It's also very important to calibrate the screen carefully, again, with a pointed object or fingernail.
