I've recently rejoined the MP3 generation (having given it a miss for most of last year, following three years of experiments with numerous and costly DAPs/lossy formats), and bought myself this ridiculously small, 2Gb Zen V player from Creative:

I always go for this brand of DAP, as the sound quality beats the pants off every iPod I've ever heard. On this, I can carry about 20 CDs in variable bitrate ranging from around 160kbps to 320kbps. I have about 11Gb of music on my PC HDD, so I just switch content whenever I tire of listening to whatever's currently on the player. I add to my MP3 collection from various sources, but principally, from
eMusic (at the rate of about 9-12 CDs a month), as well as by ripping from my own CD collection (not that I'll ever have the patience to rip all 1000+ discs!).
My headphones of choice for on the move are these Sennheiser PX200s:

They're surprisingly neutral-sounding for a pair costing around £22-£25, and unbelievably lightweight.
My home 'hifi' doesn't deserve either the name or a mention; and my SigmaTek XM400 Pro DVD/CD/SACD/MP3/DiVX/JPEG/...pretty-much-everything player ain't much better, either:

My home headphones, on the other hand, are MUCH better. I got these AKG K501s for just £60 delivered (they're worth £140+ new) from an eBay seller, and they arrived in immaculate condition:

They sound crystal clear, and while some people complain about less-than-ideal bass response, I've had no problems. Indeed, does one
want walloping bass with most classical music?
And when I'm surfing the internet? I just whack a CD into my crappy, five-year-old PC (albeit with upgraded, Samsung DVD drives) and listen through a media player like WMP or Media Monkey.