Also the cheaper you go with the mp3 players the most likely the quality for the sound will end up becoming more shittier (is that even a word?). My Creative Zen has awesome sound so as I suggested go with the Creative route.
Also get one of those $20.00 pair of Sony headphones that wrap around the back of your head. They're the best pair of "street" head phones I've owned since ear buds suck major ass. The Sony headphones, there's a little piece above the actual ear phone piece but that's easily detatchable and I've always removed it since it hurts the ears to much with them on.
By the way
here are the headphones that I have.