I use a Sandisk 256Mb ($50 at Staples) w/a FM receiver and a set of Sony earbuds that have hooks that loop over the ear. Those earphones seem to work better than regular buds. The player runs on one AAA battery and I get about 2 weeks out of a battery.

I hang the player off the "necklace" that has my work badge on it so I never forget my badge when I leave for the office. The system works well and I can tuck it all inside my jacket when it's raining.