If you have a cd burner. I would go with a CD/MP3 player. It plays regular cd's and MP3's that have been burned onto a cd. It also plays cdrw's. Phillips makes one for around 120 and their are a few others but I don't know the brands. Mine works great. You can burn around 10-12 hours of MP3's onto a regular cd-r disc.
I understand. I use mine in the gym with one of those neoprene cases that buckle around your waist. It gets in the way sometimes but it's better than listening to the soft crap they play at the gym.
Sony makes a MP3 Stick that is very small. It could easily be put in your pocket or clipped onto your waistband. The only problem with the small MP3 players is that sometimes the memory cards don't hold many songs. And of course, if you want to buy a bigger card/chip, you have to spend more money.
try looking at a sony MD player, i was looking for an mp3 player but am kinda changing my mind. Most don't have replacable memory and ones that do are expensive where as MD are like 2 bucks a piece