These are great for gym use .......
http://www.advancedmp3players.co.uk/shop/product_info.php?cPath=1&products_id=759
I was gonna get this, but opted for the H10 5GB iRiver. OK, it's risky using hard disk players for gym but it doesn't get thrown around and has been absolutely great.
http://www.advancedmp3players.co.uk/shop/product_info.php?products_id=756
iRiver machines are the ferrari of mp3 players. Mine sounds MUCH better than a friend's iPod + it has detachable rechargable battery (very important feature IMO), FM radio, colour screen, text/photo viewer etc etc.
Listening to mine now at half volume and it's VERY loud!
Sorry to anyone who owns iPod, but i've heard so many horror stories about them it made me dig a little deeper and came up trumps.
One thing iPods are good for is accessories, but what can you possibly need? I just bought some Goodmans travel speakers for my machine which sound very good.