That's why my MP3 players are either flash-based (cheap & small for exercise, etc) or HDD-based (where size isn't important, e.g. car).
Also, according to their specs, small HDD's are very shock resistant. Real world might be different, but, for example, I don't recall seeing any huge discussion of shock problems with Microdrives on the photo sites I frequent.
A bigger reason to skip ANY kind of expensive MP3 player for athletic stuff is the much higher risk of loss or damage.
Tony