Well, after playing a couple concerts in Guatemala (!) with my trio, I earned enough cash to buy myself a new portable CDP

So, today I ran out and got the Sony D-EJ725.. Here's some initial impressions:
Package:
It came with an AC adapter, a cheapo remote, a pair of cheap earbuds (MDR-E805), the external battery case (which doubles battery life when used in conjunction with the internal batteries) and a pair of NiCads (which I've already replaced with NiMH)

The only gripe I had was the lack of a mini to mini optical cable.. Ah well.
Design/Build:
Well it's a helluva lot prettier than my old Panasonic Shockwave (SL-SW202).. You know, the ugly yellow kind. It has a silver lid with a grey body. I was initially disappointed by the fact that the lid was made of plastic as opposed to metal, which is what I had anticipated it to be..

However, the build quality is quite solid.. not flimsy like the Pana SL-CT580. The buttons feel pretty solid too, except for the slightly wobbly digital volume buttons. The external battery pack is a bit disappointing too, as it doesn't attach to the CDP itself; it plugs into the DC in jack and the black cylinder just dangles by a 6 inch long cable. It's a very inconvenient design IMO, but then again, I won't really ever need 86 hrs of continuous playback either. Overall it's pretty well built and it's very attractive looking, although it doesn't have the 'unbreakable' feel of the Shockwave.
Features:
It has a superb battery life (well, so I believe.. I haven't had it long enough to test if the manual is telling the truth)

But according to the manual the manual it can play for up to 38 hrs on 2 AA alkalines, and up to 86 on 4 AA alkalines. BTW, the manual seems to indicate that the battery life INCREASES when G-protection is enabled.. I would've thought the opposite.. Can somebody explain this? Anyway, I'll do a thorough battery life test later on..
It has 4 play modes.. normal, single track, shuffle, program. The repeat function can be applied to any of these play modes. The megabass REALLY screws up the sound, so I'm probably never going to go near that button again. When you push buttons, you hear an annoying beep.. I found out that the beep is in fact can be turned off, although the procedure is a bit of a pain in the ass. It also features an internal charger which could come in handy. G-protection seems to be flawless so far, and it hardly skips even when it's disabled.
I should also note that it has a combined line/optical output. THe optical out makes recording to MD a breeze, as trackmarks are recorded perfectly.
Last but not least, SOUND:
Here I am going to compare the sound against my old shockwave. I did the comparison on my MDR-V6s, listening to the Shostakovitch Piano trio No. 2 (AWESOME piece). I had always found the combination of the V6 with the shockwave to be overly bright at times, which is one of the reasons that prompted me to replace it. The Sony CDP is much warmer to my ears, while the Pana is more crisp sounding. The 5mW per channel headphone amp seems to be enough to drive the V6s just fine, although I had to turn it up almost all the way to get enough sound on some classical recordings.
Well that's about it for now.. I might add some more comments after some more extensive listening.
EDIT (with further evidence from Eagle_Driver)
After more extensive listening, I found the sound coloured, fuzzy and lifeless. It got to the point where violins sounded not too different from violas and vice-versa.. (UPDATE from Eagle_Driver: The D-EJ725's headphone out rolls off very sharply in the high-end above 5kHz, with the output being -3dB down from the reference level at about 10.5kHz, as confirmed by the RMAA audio testing program. Apparently, all of the 2001 and 2002 model Sonys suffer from the very same problem at their headphone outs.)
If you plan to buy a new PCDP, and don't plan on using it with an external headphone amp, I suggest you go with the Panasonic CT470 or 570 instead, as I did. I just returned the sony and got the 570 and I am quite pleased with what I am hearing.