I have minidisc units. RIO 300, RIO 500, RIO800, Nomad Jukebox 6gb, Treo 10 mp3 jukebox, MP3/CD, and CD portables.
The best sounding of the bunch in the MP3 hardware class is RIO800. But it is not cheap, and it is very unreliable when it comes to battery charging. You can charge it up overnight, try it the next day, and the battery is dead. You are forced to use their batteries. But it is a nice machine.
Next thing in size and weight is the Treo 10, which you can get at COMPUSA. The original aluminum ones were heavy, but the current plastic ones are very light for what they are. They are cheap. Other brands are massive in size in comparison. I think the Classic brand has a similar one.
The Nomad and Rio Jukeboxes are not small. The PJB100 is nice tough.
You may get sick of the music of a hardware mp3 player. I use mine ONLY for exercise. For everything else, its portable mp3 jukeboxes or minidisc.