Well, Amazon was running a sale on a Creative Labs Nomad MUVO NX. Ordered it, and a Belkin TuneCast II FM transmitter. Got the MP3 player last week (Mon or Tue, I think) and the FM transmitter over the weekend.
I love the player. It sounds great, and I've listened to several files on it so far. My commute will never be the same. It won't let you bookmark a file, but it has a progressive FF/Rew, so it's not that much of a problem, and it does save your last (paused) spot when you turn it off. The volume is fine, and the provided earbuds are adequate (better than the Amazon reviewers gave them credit for, methinks, but then I don't like any earbuds). The display is small, but quite readable. All in all, very much a win.
I love the transmitter, too. I've listened to about 2 hrs of audio on it so far, and the audio is lower quality (<64kbps MP3s), so fine quality isn't going to be noticed or missed. I did play one of the IT Conversations files, and couldn't tell any difference between Doug Kaye's voice over the radio and his voice over the earbuds, or any announcer's voice over an actual FM station. I did have a very brief bit of interference at one isolated spot (in front of Wendy's as I was getting my lunch), but not enough to lose the signal, even.
I still need (maybe) to get iPodder (or something homegrown, perhaps) working to automate my downloads of things, but I'm already accumulating more stuff to listen to than I have time to listen. Good problem to have, though, as I never had that problem with broadcast FM.