Found a bunch of hi-fi shops, not specializing in iPods but still AV stuff, near Piazza Vittorio Emmauelle II.
Only one had something I really wanted, which was the Sony EX-51. He had one and it was on his window for 40 euros, about $20 more than at Amazon.
Figuring there wasn't that great a demand, I tried to haggle to 30 euros. He seemed offended. The place was very small with a lot of second-hand hi-fi stuff so you would think it was a more informal kind of store. Oh well, guess I'll have to rough it on the flight.
There's also an Apple store on Giovianni Lanza nearby. They had the way overpriced Apple in-ear phones and a pair of Etymotics for 150 euro.