Some say the Denon DCP-150 is the best (most accurate) sounding PCDP you can get. I'm trying to appreciate the sound of the one I have, but maybe I'm powering it wrongly or maybe I'm not using the right headphones, the D-25s sounds better to my ears at the moment.
Others say the Sony D-555 has the best sound, I should have mine tomorrow, so I'm looking forward to trying it out. It's regarded as the king of the Discmans by a number of people here.
Then there's the legendary Optimus 3400, which received a lot of pro and con comments. I hope to be getting one pretty soon.
And then there's the slightly more recent Sony's like the D-303, D-515 and D-777, which also receive favourable reviews.
As you may notice, it also depends on taste. An accurate sounding Discman might not sound as good to your ears as one with characteristics you like. For instance, the megabass of the D-99 is pretty good when you compare it to the megabass of more recent discmans, and gives this discman kind of a cinematic sound that works well with some types of music. It's not that accurate sounding though.
The choice of the right Discman also depends a bit on what kind of music you listen to.