I too would like this feature. I just recently got my first iPod, and I had just assumed that the EQ settings would carry over. But then I realized that most of my music doesn't sound nearly as good with the EQ on as it does off. Especially in my car, most songs get major distortion if I set the EQ.
I don't know if it's the iPod, my car setup or the fact that they are all AACs. Or maybe it's a combo of one or both.
At any rate, I'd still like this feature. Maybe something where you could set it to Auto EQ (whatever you have the song set to), Manual EQ (manually setting the song) or No EQ (forcing no EQ). That would be a nice option.