Best personal audio format/player?

What format and/or player gives the best quality sound for personal music players? This would include the headphones too. With all the new digital formats plus mini disc plus RW CD I'm looking for help cutting through the chaff. Will be used for skiing, cycling, etc so needs to be rugged and skip free playback. As a reference my home systems are Linn active. Thanks for your opinions!
If you have a PC or Mac, I would recommend the Apple iPod. One of their lastest players has a 40GB hard drive, it is small and compact, and you could upload CD quality audio files (WAV) onto the player with space for at least 63 albums (@ 650MB / CD). The player supports popular audio formats including MP3 VBR, so you could copy many more albums if you used a little audio compression.

Unfortunately I can't comment on the quality of headphones compared to other players. I find that replacing the headphones of portable players with alternative brands is usually the best option, as you can choose a design that is comfortable, and of a higher quality than the original pair.