I like to run with my MP3 player. I have the creative "Nomad".
It has 2 parts - the USB drive, and the battery.
It has 3 buttons. One to turn on and off, one forward, one reverse.
You plug it into your USB drive and drag your MP3's onto it. It plays them in the order you put them on.
It costs less than $50.
It's perfect as far as I am concerned. Cheap, mine has seen constant use for 4 years without flaw, simple to change songs, easy to interface with a computer. No cables either.
You can even get a rubber case and velcro armband for jogging with it.
http://www.mp3mall.net/mp3/Creative/...7300000000005/
EDIT - The only downside of mine (which is 4 years old mind you, there are probably much newer models) is that it is 128MB. That's around 30 songs. Which is longer than I can run anyway.