i have my zune 30 in my car or my backpack, along with my laptop's 200 gig hard drive at all times. I also usually carry my 500g portable My Book. I keep my 'current interests' on my zune, all my flac / lossless / massive fils size music on the laptop, and everything is backed up on the My Book.
My 16GB iPod 4G Nano is my player of choice when commuting. But which headphones or IEMs I would be using with the player depends on my music files: Shure SE310's or Grados with Apple Lossless (ALAC) files; cheaper Denon C351's or Sony EX85LP's or Koss KSC-75's or Porta Pros or even the stock Apple iPod earbuds (I don't call them iBuds because another company already has a product called the "iBuds") with AAC files (mostly 224kbps, with a few 256kbps files mixed in).