Minidisc is my favourite as well. I have three portable Sony MD players, two of them can also record. Since recording is done in real time, a lot of time goes into creating each disc but I can move around or split tracks however I like afterwards without the need to plug it into a computer. As someone who never manages to keep track of my iTunes playlists (I keep losing or ruining them or having 3 half-finished copies of each), it's such a nice feeling to physically pick up a disc, put it in and know what I'm going to be listening to.
I have a portable CD player as well, but it actually never leaves home. I only use it to sometimes listen to my old MP3 CD's from my younger days.
A few years ago I got myself a Sony NW-394 MP3 player. I instruct a dance fitness class, so I was going to put my music onto it and plug it into the gym's audio equipment, but the volume was so low and after totally 20 hours of playing on max volume it gives this horrible volume warning beep and lowers the volume...
As for iPods, I still have my iPod classic (the last model they made) but I don't use it.
My iPod shuffle (also the last model, pink) is the player I use when working out, it's so nice and tiny and requires no pockets.