Sony MZ-R700DPC MiniDisc Walkman with Stick Style Remote
Best overall for athletic purposes
I have two of these units for running.  I've run 10K to marathon with a waist pack.  I've tried them all and nothing beats a minidisc...not CD (still skips sometimes, bulkier), not MP3 (expensive media, very poor battery life).  My unit gets 10 times the battery life of an MP3 player (30+ hours), has never skipped even with sprinting, and easily allows transfer of my CD collection to minidisc.  I also purchased a home CD/MD deck that allows high speed dubbing AND capture of complete songs off the radio with a delayed 6 second buffer.  Only negative: I have yet to find a good waist carrier and had to modify a Tune Belt.  Add one of these to an Ironman Fuel Belt and you have everything...water, music and a pocket for keys and money.