Yes, I use clip+ with TF10. You won't find better player for 30$. Or if you are comfortable with using AAA batteries I suggest to buy Rio Forge. Yes, it only supports 2GB cards but it's deffenitely worth it, it just sounds awesome.
The best thing would go with IEMs, cans won't block as much noise as in-ear monitors. As closed cans I'd suggest Sennheiser HD-25 ii & Audio-technica M50.
You think it's normal that we have like 20 threads like this and they keep popping up each week/month? I believe some kind of popular threads should be sticked.