I use an IRiver H100 or H300 can't remember exact model but it has 20gigs of storage, ok user interface and has withstood several drops while riding a bicycle and at the gym. I can't complain really. The only thing wrong with it, would be the user interface which isn't speedy when you are going alphabetically from Drowning Pool to Shinedown with 100-200 songs between the two.
It is kind of hard to lift with it at times. Most of the time I just tuck it into the waist band (inside of my boxer/briefs) and it stays there pretty well. Gets me some odd looks at times though.
Just make sure to get some comfortable headphones. I hate those mini buds that come with many and have the "over the ear" type and they work ok. More comfortable for me than the minibuds.