How big are the files?
If they're less than 1 GB (for as many as you want to hear), you might want one of the Flash-memory-based players. If not an iPod Shuffle, then there are many alternatives [link|http://froogle.google.com/froogle?q=flash+mp3+player&hl=en&lr=&safe=off&tab=wf&scoring=p|here], starting at $25.
I have an Archos hard-drive based thingy, but I've rarely used it.
HTH.
Cheers,
Scott.