When I am out and about: most definitely, my iPhone. I use to have a great little MP3 player few years ago, in fact I still do... somewhere. 1GB space but the thing lasted around 50hrs on a single AA battery (it's why I brought it). Cost me around £25. It was pretty advance in terms of bat life at the time.
They released a 2GB version but it was unstable and caused a lot of problems so shops stopped selling it but I loved the darn thing. It was also featured on engadget