I listen to music all of the time, especially on planes and trains. I few years ago I bought into the minidisc market, knowing full well I'd eventally move to some form of MP3 player - at the time the memory/microdrives were just too expensive.
My current player is a Frontier Labs NexII, which I bought for two reasons. First it uses Compact Flash cards (or microdrives), so is easily upgradeable; I stick to CF cards as they are pretty cheap and don't suck the battery like a, err, big sucky thing from planet suck. Secondly it uses 2 AA batteries, which give a good 15 hours and mean I can easily replace them if they do die in transit.
One day I'll buy a hard disc based player. There's a big battle among these regarding battery life, but none of the manufacturers have realised battery life isn't the real killer people say it is. The real issue is non-removable batteries. I don't care if a battery lasts 15 hours; if it dies while I'm half way across the atlantic I'm stuffed. Finally Creative have realised this is an issue and their new player has a removable battery. I can now get a player and two batteries, giving me peace of mind. In fact their opening offer gives a spare battery. All I have to do now is persuade myself I can afford it (which actually I can't).