Hi MaryAnne
I don't own anything like this but I've picked up a bit of information while reading up on headphones and digital to audio converters.
Audiophiles on a budget buy the Sansa Clip. It's meant to be cheaper than the various iProducts and have better sound quality.
It will also read a variety of lossless music file formats like wav. flac. and ogg. whereas I think the iStuff pretty much only does Mp3. (Yeah, yeah, before anyone jumps on me, ogg. is a lossy format).
I've been told by a shop salesman with better than average product knowledge that the Sony equivalent is also cheaper and better sounding than the ipod line and able to read more file formats.
I think all this stuff comes with ear buds (ugh), so you'll have to buy headphones seperately.
These things have a fairly low output so you need low impedance headphones - below 64 ohm or so, alothough I did read a review of the Sansa Clip where it did very well with some serious high ohm headphones.
Generally speaking the better headphones need a good DAC and headphone amp to sound their best. This is definately the case with my Denon AH D2000's.
For the truly fanatical you can buy a pocketsized, battery powered DAC/headphone amp to use with your Mp3 player.
Important - headphones are divided into several distinct catogories.
First is open backed or closed backed.
Close backed blocks out room noise for the listener and stops other people in the room from hearing your music leaking out.
Open backed has potentially better sound quality due the sound not booming around inside the headphone itself but they're more suited to a quiet room. There are some better closed models which have a nice open non-boomy sound.
The second second very important division is between headphones which pump the hell out of the bass for the young people listening to doof-doof music(!) and those which just reproduce the music without doing anything to it.
This is pretty important for classical music.
Most cheaper headphones pump the base.
In the cheaper Sennheiser range the HD202 pumps the base, the HD 280Pro is very neutral and natural sounding. Both of these are closed and cut out background noise very well. Both of these are below the serious audiophile level.
If you've got the motivation you'll find more headphone information than you'll ever want at
http://www.head-fi.org/f/" target="_blank - warning - this is the headphone equivalent of Tubenet.
Feel free to PM me to pick my tiny brain further.
I am NOT an expert but I've done a LOT of reading on all this in recent times researching my own equipment needs.
Regards
Gerard