Sansa Clip 4gb rules. VERY small, good output (the brand of headphones matter too- get a couple different ones to try- most are under $20 for decent ones). The Clip can be had on-line for sometimes as low as $25 (maybe refurbished, but sometimes includes shipping). Get 2 and have them filled will different mixes and make sure they are always charged.
Check out Skullcandy, Sennhauser, and Klipsh ear buds.
https://www.google.com/#hl=en&cp=12....,cf.osb&fp=ce695bfbf419eb5f&biw=1280&bih=622
Good post. headphones are as, if not, more, important than the player--both for sound quality and blocking out ambient noise. In addition to the earbuds listed by badboy, I also like etyomotic.