I personally use either my VR3 MP3 player ($27 last time I saw it at walmart) even though it's only 128M... That's plenty for podcasts and music to walk to school. Also double as a usb drive in a pinch.
If I need more storage, I can use my Palm TungstenE. Plays mp3's great, has an SD card (I use a 512M) and if I really want to I can watch movies on it. I can download a show like Digital Life TV, CommandN, OpenAlpha, or DVD's I've ripped (I ripped Defect right after I got it because my copy of U2 got scratched, and I can't watch the Atkins/Grove section anymore :'( It's a small screen, but the quality is surprsingly good.
The only problem with movies is that the player I use, TCPMP, uses a windows converter that doesn't like some files like quicktime... BUT, the encoder uses a windows version of mencoder (which originally ran under linux) and under Linux I can convert Quicktime no problem. I can also watch Quicktime full screen. For Free. Thbbt.
I find the best media player is an assortment
The Palm for expandable music/video when you don't have much room, the VR3 for ease/small headache (I don't care too much about losing a $30 player, vs a $200 one), and my laptop for longer trips where I might want to watch stuff. If you rip the movies first, you don't even have to take them with you (movies you already own of course).
Speaking of which, I still have to rip Clone Wars before I leave for X-Mas break...