If you have a PC or Mac, I would recommend the Apple iPod. One of their lastest players has a 40GB hard drive, it is small and compact, and you could upload CD quality audio files (WAV) onto the player with space for at least 63 albums (@ 650MB / CD). The player supports popular audio formats including MP3 VBR, so you could copy many more albums if you used a little audio compression.
Unfortunately I can't comment on the quality of headphones compared to other players. I find that replacing the headphones of portable players with alternative brands is usually the best option, as you can choose a design that is comfortable, and of a higher quality than the original pair.
Unfortunately I can't comment on the quality of headphones compared to other players. I find that replacing the headphones of portable players with alternative brands is usually the best option, as you can choose a design that is comfortable, and of a higher quality than the original pair.