Have to agree with Saffer.
I looked into waterproof MP3s a while ago, read plenty of reviews and feedback and ended up getting a 1gb shuffle for $60 and getting the H2O Audio cover and headphones to suit it.
I didn't really want to, purely because I don't like using Itunes, but I ended up getting past it.

My justification was, if the unthinkable was to happen and you got some water in it, you're always going to be able to get another shuffle for $60 or less.

Also, from what I read the sound quality was a bit iffy with some of the other brands and I thought you can't go wrong with the tried and tested Ipods.
My only gripe is that I found the headphones sound a little bit tinny when you haven't got the silicone ear pieces attached ( also use them at the gym ).
I did also find a Shuffle that had been waterproofed without any casing. It looked like any other Shuffle but had been treated somehow. The idea appealed, just because of its size but was a bit expensive and obviously couldn't be replaced cheaply if something happened.
I just had a quick look for it to try and find a link for you but I can't remember where it was, but did find the H2O cases on Ebay, delivered to your door for just over $90.
Cheers.