I use a radio while commuting every day (gotta get my NPR). I've tried a few and my complaint with really tiny radios is that the reception is poor, which won't help you a bit in the woods. Many of the new minis are FM only, compunding the reception problems. I have a little Radio Shack rig that is FM only, has dedicated earbud headphones and uses little LR44 watch cell batteries and goes through them pretty fast. Reception is okay in the city but doubtful out in the woods. It is tiny and just a couple ounces-- and no longer made. I'm not unhappy with it as I knew it was toy-like when I bought it-- for 99 cents in a thrift store.
If you get something like this that has oddball and expensive batteries, Ebay is a great source for cheap batteries in bulk. I've had very good results with coin cells for mini led lights.
My daily commuter radio of late is the Sony SRF-M80V. It can set 10 FM presets, 5 AM, and gets TV and weather bands. 3.6 ounces and runs on two AAA batteries. Battery life is good, but I can't tell you how many hours. There is a lock switch so your don't accidently turn it on and run the batteies down or change the station while under way. It has a clock and some timing functions too. The radio is not in current production but there are new and refurbished units still available. You will find a number of them on Ebay, most of which are refurbished.
Reception on most of these headphones-only "sports radios" are designed more for FM, which is a 25-mile medium, IMHO. The headphone wire is used as the antenna on most models and you can find yourself moving the wire around like a pair of TV rabbit ears to get a decent signal. I love to see what kind of AM and SW stations I can pull in at night.
The headphones are lightweight headband/in-the-ear-speaker style. I use a pair of Koss "The Plug" headphones with some adaptation. The Koss phones are an in-the-eat style with a soft foam insert you squeeze and pop into your ear. I found them hard to wear and some clever fellow on a forum came up with the idea of using serrated style earplugs to replace the foam inserts on the Koss units. There is a tiny plastic tube that runs through the foam and will fit inside a pair of industrial serrated earplugs once you pull out the hard plastic center and trim the end to open the inner channel so the sound can flow through. They are comfortable and stay put, as well as sealing out outside noise.
My favorite radio is a Tecsun R919 which is a 9 band AM/FM/SW pocket radio. It is also sold as a Grundig and LL Bean carries the same radio with their own model number. I bought mine on Ebay. It is analog tuning (uses a wheel) but has a digital readout. The antenna telescopes and the radio comes with a longwire antenna extension for better SW reception. I rigged up the antenna between my trekking poles when I was out at Cape Alava in the Olympic National Park and I could pull in every country on the Pacific Rim and AM stations from Victoria, Canada. This radio has a clock with sleep and alarm functions and has a small speaker and a headphone jack. The radio weights 6.3oz with two AA batteries and looks like a small walkie-talkie. It's a little big and a little heavy for real UL use, but it will pull in a signal and is easy on batteries. I count it as a luxury in my gear list.
I use a pair of Sony clip-on headphones similar to the current MDR-J11G. They are inexpensive, very light, and allow you to hear some outside sounds. You can wear them with a hat on and they stay put.
The ultimate would be a unit that is a GPS, PDA, and AM/FM/SW radio. Adding FRS walkie-talkie functions would really be over the top-- a hikers Blackberry if you will. I would personally settle for a PDA with AM/FM/SW functions. I imagine adding MP3 would make it easier to market.
Gene's find with the Sangean dt300vw is worth a look.