this is a subject I am an expert on...
I like to run, so cd's were a no-no beacuse of skipping...so i used to burn cd's and transfer them to tape. I am very into house/techno music..have turntables, records etcetc so I would always make my own mixes.
That takes alot of time...so then I got a mini disk player because they don' skip. I had alot of problems with it, it wouldn't always record, and it also broke.
This year they got these ez-zone things at my gym, so you buy the headphones and on any machine you can watch tv or listen to your own cd's, which is very cool.
For my b-day last october I got an MP3' player...best thing I ever used. It's light, you can transfer files in a minute...I have the Rio one and I upgraded the memory to 128MB (it comes with 32)...