Oh boy - technology!
The Ipod is probably the best, however, like you said its expensive and a one dimmensional device. If you're going to spend that kind of money, buy a fancy handlheld with an expansion card so you can do more with it. I have a handhled that plays Mp3's and it's expandable to what ever size memory card I use (currently 2 GB). I use it because it cuts down on the number of devices I carry with me and I feel I'm getting more for my money. I can surf the web with it in wireless hotspots, check email, work on documents, keep my contacts and a calendar AND listen to MP3's for the same price these folks paid for thier Ipod.
I tried the cell phone MP3 player but the battery life is shit so don't bother.
Smackette has the same Nike MP3 player the GGW was talking about, but it freezes on her all the time. Maybe GGW is experinecing the same or a similar problem (but I think it's because she's a woman). The other problem is that it doesn't shuffle so you have the same set list every time which can get very annoying.
Kosmo is absolutely right about the inexpensive flash players - not a lot of songs. Which reminds me - rip your songs at 64KBPS for MP3 players because your headphones aren't going to be clear enough to notice the differecne between 128K and 64K, but you'll be able to store more songs.
A good mid-range price idea for lots of songs is the new MP3 playing CD players. Look for an easy to use display (trust me) and one that works with CD-RW's. Basically its a discman that plays MP3's, and if it reads RW's then your set with over 15 albums on one CD, but not locked into those albums. They're under $100 these days.