While I don't believe they're made anymore, I've been rather satisfied with Zunes. If you don't mind something 2nd hand, you might be able to get a decent price on one with a docking system. The one I have now holds 8GB, though there are some that go up to 200GB IIRC.
If you're looking for new stuff though, Walkman and Creative make some decent mp3 players, and iPods are always popular (though I despise Apple products personally).