I took the engraved IPod a few years ago when I crossed 2MM.
For those that haven't received anything, it was given very shortly after you crossed each milestone, and there are different gifts offered for each level.
The coolest gift that I ever received, was about 6 years ago, after the second year in a row that I flew 300K miles each year and took my son-in-law to the DEN flight center and we flew a A320 in the simulator. Also took home all kinds of goodies.
Fly 300K in one year now and you get a Ménage à trois with Hal & Alex!