And Nike + Shoes? :\
Or does the Sensor come free and I can stick it onto my shoes with tape?

I'm pretty sure you need the sensor, which you can stick on any shoe, or you can get the shoe itself

The Nike + shoes are special and have a slot under the insole to put the sensor. I do know people who were to cheap to buy the shoes and stuck it on there sock. I guess you will have to squeeze it to get it to sync. Normally I just hit the button on iPod and it tells me to start walking to get connection.

If you go on ebay you get little pouches, and things like that, that use clips or velcro to put the sensor on top of your shoe, on your laces.