Hi Zarak,
I would recommend the Koss KSC75 portable headphones and a Sansa Clip or Sansa Clip+ MP3 player. The Koss KSC75 you can probably find for around $20 and are regarded as one of the best bang for buck headphones regardless of price. Add a Sansa Clip+ MP3 player and the total cost will be around $60 or less(including the headphones). Again the Sansa Clip+ rivals MP3 players costing 3-5 times more . IMO this is the best portable setup for the money and not only that the fit/function between the headphones and MP3 player are perfect for using during exercise/activities.
