I just bought a Sonic Blue Rio S50 MP3 player, upgraded from a Diamond 600. Both will provide skip free music at the volumes you need.
the S50 has the radio tuner built in, uses MMC memory cards so you can swap them out for different songs (although with 128 mb built in and another 256 available via Secure MMC cards, it's not really necessary).
My only complaint is that the controls weren't made for someone wearing gloves.
I've also got an Archos Jukebox Studio 20, with a 20 GB hard drive, that I would NOT recommend buying. It's got a skipping problem, the controls are crap, and it randomly forgets my settings and locks up the controls. Plus, even though I can fill it up with MP3s, I only want to listen to a small selection of them when I'm riding.
I'm currently using the Chatterbox in helmet speakers, but I'm looking for some custom molded earplug speakers for a reasonable price instead. Anyone got a source for those?