I picked up a 4G microdrive for my PocketPC off of ebay. Very nice. Now I can load up a pile of songs and listen to them in the Wife's car - which doesn't have an mp3 player.
I'm still trying to decide which Pocket PC MP3 player software is best, but I like PocketPlayer so far.
Battery life is actually pretty good with a good player (not built in media player), since they can cache the song is RAM which lets the device spin down.
I don't have as much space as an Ipod, but I get to carry a single device.