With the release of the 4G iPod, Apple stopped including a dock in the package. Not really sure why they did that. A dock costs about $30 to buy seperately.

Instead of spending money on a dock, just make one yourself. Here is a PDF diagram with instructions on building your own Dock using card stock or lightweigh cardboard.

Its also licensed under a Creative Commons license, so if you plan on improving on it, make sure you read the license details.