I second what Sonichedghog360 says about using Windows Mobile devices as audio players. My experience is with a Dell Axim X51. I was surprised at how good this sounds. I am also surprised that these devices aren't mentioned more in forums that discuss audio. Now it seems like the non-phone devices is slowly disappearing, which is sad. Besides being excellent audio players they can do so much more, and there are currently a lot more, and better, programs for them than you get on an iPhone. The only downside compared to dedicated players is the battery time.
For audio I have two programs: Pocket Player and Phantasm. Phantasm is the one I currently use as it has better sound capabilitys. Sonichedgehog360 mentioned them: xfeed, reverb and the equalizer. Besides it supports perfect gapless playback, has a low power consumption (very important on these devices), and it also has features to avoid clipping. The equalizer and reverb work in conjunction with the overall volume cut/boost control to avoid clipping. This is very important on many "modern" albums, which has no headroom to adjust the EQ without clipping. They are mastered to sound as loud as possible.
Unfortunately Phantasm is only sold to people living in the US. Outside the US most people won't even get into the web-site. There has been quite heated threads because of this in other forums. I hope that won't happen here. So if you can't get it I would recommend Pocket Player also. This has a better library, and it supports more codecs, including more esoteric ones like musepack. But currently it doesn't support AAC, except on phones that has hardware decoding of AAC built in. Pocket Player also supports podcasts, UPnP streaming, crossfading and more.