I recently bought a Centon 1GB MP3 player with voice recorder and FM receiver for $50US (sale price after rebate). It plays a variety of formats including MP3 and WMA. Sure, it's kind of cheap and cheesy looking compared to the iPod but I don't have to throw it away when the battery dies - just replace the battery (it takes one AAA). The thing I like is it has no moving parts other than buttons and switches - no micro hard drive - so it's pretty much shock proof. It provides me incentive to excersize.

Last summer we bought an FM transmitter - about $20 - to play music from MP3 and/or CD players in our car on vacation. The reception ranged from bad to terrible - it was quite a disappointment. There might be better ones out there.