I bought a Samsung Yepp a couple of months ago for exactly the same reason. It has a tuner in it too which seems to be rare in MP3 players. Most gyms have their TVs set to broadcast on FM stations so having a tuner is great if you want to watch (and hear) TV. It also has a voice recorder which is surprisingly handy.
http://www.bestbuy.com/site/olspage....type=pr oduct
EDIT: The earbuds that come with it sound like shit so plan on spending another $15-$20 for better headphones.