They're all much of a muchness really, if you just want basic functionality; I just bought some nasty little chinese thing for £12/$18 with a display and built-in FM tuner- it plays mp3 & wmv files just fine, uses a removable microSD 4GB card ( handy ), and gives 3-5 hours playback- plus it's tiny & light.
The trick for good sound quality is to replace the nasty included headphones with some decent ones- opinions vary depending on your price range, but the recommended ones I've looked at are:
Sony MDR EX 300/500 ( or their newer 310/510 range )
Sennheiser Cx300
Soundmagic PL 30
I'm looking at getting some of the soundmagic PL30's myself as they are the cheapest whilst still offering great quality ( I'm tight
).