I've got a Sansa Clip Zip I use for working out/commuting/at work. Its itty-bitty, has a built-in clip, an FM tuner, accepts micro SD cards, and uses a standard micro USB cable for charging. Mine has pretty good run time. I've been able to listen to it for a couple hours a day for most of the week and just recharge it on the weekend. I really like that it uses the same charging/data cable as my cell phone and has expandable storage.
I paired it with a pair of JVC Riptidz headphones which claim to sweat-proof for a cheap, light, really good sounding set up.
If I happen to misplace it or break it I'm not going to be too upset since I've only got $50 or so invested including an 8GB micro SD card. Its certainly less flashy than the Ipod but if all you want to do it listen to sermons how many features do you need :D. And in that case, if you have a smartphone you can probably just load the MP3s on there and save yourself the cost and hassle of another device. My phone seems to get pretty good battery life if I put it in airplane mode.