OK, I found my 4 gig MP3 player that runs on an AAA battery.
I posted about a year ago asking about this and came up fairly dry. I put it in the "inactive" file in y head and just went about life as normal.
Well, I was killing time WalMarts electronic gadgets section while Mrs W was shopping and my eye caught a candy apple red* thing in a blister pack hanging on the shelf. Not being able to resist shiny, colorful objects, I just had to check it out. It turned out to be this RCA TH1814 MP3 player that sells for $22.95!
It's nothing fancy and maybe a little larger than I would like but it fits all y other criteria, which is basically it be larger than 2 gig (it's 4 gig), run off a replaceable AAA battery, and be cheap. It's all that. ...and it sounds pretty good on the Sennheiser CX 300 earbuds and Koss Porta-pros I use.
It has no FM radio, but it does allow you to load it by simply plugging in it folding USB plug into your 'puter and then copying and pasting folders from my "my music" directory directly into it. You don't have to load any additional software into your computer. As a bonus, it does allow a true shuffle play which, I found, is not something one can take for granted.
But, iI don't think it'll play downloaded music. All my music is ripped from CD's so I can't verify that but the manual has all sorts of disclaimers.
All in all, maybe the best $23 I spent on this hobby and cute as a bug, too.
* The pictures show it as black. Maybe only Walmart has red ones? dunno.
About six months ago I was in the same situation. My requirements were pretty much the same except that I wanted the ability to play FLAC files. I found the Sansa ClipZip. For <$40 I got 4GB on-board memory with a slot for a (up to 32GB) micro SD card. It recharges from a USB port, has FM and does audio books. I added a 32GB micro SD card for a total of 36GB of storage.
I love Sandisk. I have a coupla M-200 series but they oly hold 2 gig and I wanted a little more. I still keep one loaded wit driving music in the car for when the radio just doesn't make it.
I was considering a clip as well but the AAA battery was a major deciding factor. I hate it when my Zune would die on an airplane ride or in the middle of nowhere. I can flip a dry cell in about 30 seconds