Just for clarity, the tagging standard is called "
ReplayGain". Squeezeboxes apparently understand ReplayGain tags natively, which is nice. For Itunes/Ipod, the script linked by Andy will convert ReplayGain tags to Apple's proprietary volume-levelling tags, so the files will play nicely on Ipods too if synchronised using Itunes.
Mp3gain, on the other hand, is one of the many programs which can create ReplayGain tags. (Foobar2000 is another.) Do note that Mp3gain also has other modes of operation,
which you don't want. In particular it can "apply" the discovered gain settings, which changes the MP3 so that even dumb, non-ReplayGain-enabled players (such as Empeg and Karma) play it at the levelled volume. That's not what you want, not least because you can only do that for
one out of track gain and album gain.
If using mp3gain, what you want are the "track analysis" and "album analysis" options, making sure that it's set to write APEv2 tags and not any other sort. Steer clear of the "apply" options.
Peter