I'm with you on this one - the price of a Clip+ is well worth not risking a really good, but bulky, player (with no dedicated, exact-fit accessories) sounds more sensible, plus the most music we'd need for physical activities are for background music.
Although these days I risk an equally pricey portable player - my Galaxy S phone - all because at least I can be contacted while jogging (and it fits an old iPod armband I have lying around). And depends on where @rsgladwin85 runs, like if its isolated enough but with a cel signal, a phone decent audio would be a great gadget to have along. Imagine spraining your ankle tripping over rocks and there aren't too many people passing by.