Not sure that S:Flo 2 would be something that you could call "thinnest".
If you do not leave in EU, you might check the Sony ones, I had a S755 and it was quite good. Only problem was volume cap which was a pain for me.
Else, the Sansa Clip as suggested is still a good and cheap choice apparently (even if I never had one).
You might also look at the new Cowon C2 which is tiny and offers a MicroSD slot. But it's not as small as an ipod nano 3rd.