What's good depends on what you want and how much money you want to spend. I have a <a href="http://www.nomadworld.com/products/muvo/">Muvo</a>.

Good points:

<ul><li>Made by Creative. I like them.</li><li>Small as heck. You can use the thing for a key chain.</li><li>Uses one AAA battery. Can't get much better than that.</li><li>Can be used as a plain old FAT32 USB flash drive. But most MP3 players can, I imagine.</li><li>Works fine in Linux.</li><li>Less than $100.</li></ul>
Bad points:

<ul><li>Small as heck. Mine's only 64MB. But new ones are more.</li><li>Only plays MP3s (and maybe WMA, but who cares). No OGGs.</li><li>Mine has no LED display (but new ones have them, mine's old), and no way to play songs in random order (I think new ones have this too though).</li></ul>

You can get something cheap and little like mine, or get something with 10 GB hard drive that just happens to have an MP3 decoder in it for a couple hundred bucks. Depends what you want.