Minidisc players are sweet, but I like my mp3 player because it's a jukebox that can hold thousands of songs. I just set up playlists for different moods and it's like having your own customized radio stations without commercials.
Nike/D-link/other small mp3 players that hold 64-128 mb of songs are good because they are light, and you can change the songs on their daily.
Skip free, light, just not alot of storage.
Minidisc player: Rarely skips, very light, but you are dealing with moving parts. You can just carry a few discs with you and you have plenty of tunes to last you.
IPOD: Great, but expensive.
CD Player: bulky, but hey, its the way to go if you are a cheap mofo. even better if you have a cd burner.
Archos Jukebox: I've done alot of investigating I've found this to be the best way to go.
It holds thousands of songs ( stores 6gb to over 20gb) and sells for around $150-250 . It's built like a rock and has built-in padding to protect it from nasty falls.
Eat. Sleep. Breathe. Ski.