What do they do - go through your entire playlist, then find out where every single one of those songs came from? Hard to imagine that. Wouldn't they have to check the origin of the songs on the computer that your iPod is synched to, which you might not even have with you on the trip?
Personally, I've never seen a customs agent anywhere give an iPod a second look - how many millions of them are out there, to say nothing of other kinds of MP3 players and mobile phones that double as them? - but that's far from an authoritative answer. I'd like to see what anyone else knows about this.
(Welcome to FT!)