Depending on what memory size you might be looking for, I'd go with the Bantam BA-350. 128 MB internal memory and I added a 128 MB MM Card.
Sounds great, gets loud enough and accepts MM cards for expansion, supports WMA files and file transfer is a breeze.
I've owned 3 players previous to Bantam's and I found they have the best sounding player out there. Also comes with different colored faceplates, player is as small as a credit card, car cassette adapter.
Info can be found at
www.bantamusa.com.
And of course with any player you buy, purchase a separate set of better quality ear/headphones. You won't realize good sound with the ones that come packaged with player.
If your looking for larger capacity (and bulkiness), get one of the new ones that have a hard drive in them. Be prepared to pay a lot more though.