You just have to check the specs. Any player that says it has a "Line Out" should meet your requirements. It will most likely provide you with a mini-plug jack (like the one in your picture). You can buy a stereo mini-plug to RCA jack cable from any Radio Shack that will allow you to connect to your home receiver. Many players offer line out, many don't.
I have an IRiver SlimX MP3/CD player that provides line out. Oddly, the level of line out is controlled by the volume setting.
The other nice thing about having a line out is that it increases your options for hooking up a headphone amp.