Okay, what do you have in mind? How long do you want the battery support to be?
Lets be simple about this, there's three real choices, the rest are just wanna be's.
First is the Cowon iAudio X5 (or X5L if you want longer battery but with a larger body). Take a look of a review here:
http://www.iaudiophile.net/content.php?review.24
Next up is another Cowon product. This time the Cowon A2. A huge screen and tons of features, not the longest battery life, but if you were even considering a PSP then I guess you dont care about that. Take a look at a review here:
http://www.dapreview.net/e107_plugin...hp?content.239
And the last is the Creative Zen Vision:M. Probably the best all around player, good battery life, good screen, etc. Take a look at a review here:
http://dapreview.net/e107_plugins/co...?content.259.1
The others out there on the market just are not as good all arounders as these three. I'd personally go with either the Creative or the Cowon A2, that just depends on the style of media player you want.
I wouldnt even consider a PSP, the battery life on those things is a joke.