I own the Archos Studio Jukebox 20 MP3 player. Love it to death. I thought my Panisonic portable CD player sounded good, but the archos kicks the pants off it.
I rip all my CD's to Uberstandard (which is 100% true CD quality mp3/ogg rips) and upload them to my Archos Jukebox. I was almost going to get the Creative labs, but you had to use it's little software or you had to buy the Notmad Explorer software for $30 just to be able to simply drag and drop files to the player. A bunch of little things made me sway from the Creative's Jukebox 3 player. Price was also a big thing.
I got the Archos Jukebox for $199 at bestbuy.com with free ground UPS shipping. With tax and extra feeds, $215 total. Pretty good deal. Deal is still around too.
As for what I personally recomend for headphone use and this differs greatly from person to person. I own the Sennhieser HD 590 headphones. I demo'ed the Sennheiser HD 580 headphones and yes they did rock, but being I didn't want to buy an amp at the time, I knew the HD 590 were the better choice for me, for my particular use. The HD 590 sound lighter then the HD 580s and are much easier to drive.
Now those headphones of course are for home use, you would be a fool to take them outside. They are very big, but also very comfy and the sound is really nice.
Read some reviews, learn the popular brands. I happen to be a Sennheiser person myself. I like the looks of the headphones, the comfort is unbelievable and the sound is really bitchin.
I also own a home theater stereo reciever and decent speakers. You can always look on Cnet.com and see the reviews for such things. Try to look for paterns, see what brands keep poping up.
There is no need to go all out just yet. Get one or two componets at a time. I'd say start off with a good pair of headphones and a good source. Either a MP3 player or a CD player. Plan on spending about $200+ bucks for your player and about the same price for your headphones. So say $450.
Whats your actual price range and what really are you looking for? Just can't decide?... try to think what are you striving for? Home use; ultra bitchin sound? or Super Cool; ultra hip portable gear.
I opted for bitchin sound that can still be semi-portable, nothing for joggin, but something I can take with me if I go to the cabins for the weekend or stay the night at a buddy's house.
The portable path:
CD player/MP3 Player = $200 - $600
Portable headphones = $25 - $200
Headphone Amp = $80 - $300 - $$$; (no limit)
Cables = $20 - $100 = $$$; (no limit)
The Home path:
CD player/DVD player/SACD player = $200 - $400 - $$$
Audiophile Headphones = $200 - $500
Headphone amp = $200 - $6,000 - $$$
Stereo Reciever = $300 - $$$; (no limit)
Speakers = $100 each - $$$ each; (no limit)
Portable MP3 player = $200 - $600
Cables = $20 - $100 - $$$; (no limit)
Just pick what you want and what you can spend. Make yourself a little check off list. Then list it to what you think is more important. First. what do you want, cd player, amp, reciever, dvd, etc... what and where will you use it...then what price you willing to spend...then what brands do you prefer, then start asking for advice.
Hope this helps