I had a cheap one once (some noname brand), didn't work too well. Got a much better one (Riovolt SP250 -- also with FM tuner), love it. Just wish the display was a bit bigger, as they use a fairly large font on it and you can only see the first 8 letters or so of the filename while you browse. And I have all my files named with the artist first, as that's how I like them sorted...
Battery life is *much* better than a conventional CD player, and mine has a built-in NiMh charger (and came with NiMh rechargable batteries)! Also, once it's about 60 seconds into a track, it spins down the CD entirely -- and it's *impossible* to make it skip, since it's playing from RAM.