I really like my iPod shuffle[1]. It's the device I use the most and taking into account that it only cost me around 50 euros, I think it's the best "thing" I've ever bought. Just one minor issue: 2GB of storage.
So question is if you know good alternatives. Just two features are important for me: size (~iPod shuffle) and storage (> 2GB).
[1]: http://www.apple.com/ipod-shuffle/