After searching the Internet I've found lot's of ways to use the Nike+ sports band in linux, this is the easiest way. This works for Ubuntu 10.10 and later.
Make sure you have Ubuntu 32 bit installed, for whatever reason the 64 bit version does not want to mount the USB device.
Download VirtualBox here, do not use the one in the repos. It will not work with the sports band.
Install windows xp in virtualbox
After installing xp, shut it down and go to the settings of your xp installation in virtualbox. Navigate to the Filters Section. Plug in your sports band and add Nike+ to the list. And remove the device.
Start xp from virtualbox and download the Nike+ software here
Insert the device, wait for it to recognize. Then go to the device manager and have the drivers installed
Start using your device.
I know this may not be the best solution but if you have a decent laptop/pc then its not that huge of a deal, and lets face it, as a linux user you should have virtualbox installed anyhow so you might as well get it done.
There are other solutions that I've found that are ubuntu native that I will post later but none of them have worked for me.