Best Portable Digital Device

I currently use a Palm Pilot (Tungsten E) to listen to music when traveling on a plane, but it's not very handy to use while exercising. So, I'm thinking about buying an IPOD Nano (4G) - $200. I've got hundreds of CDs but can't imagine loading more than the 1,000 songs that the Nano supposedly stores. Is there a better product out there than the IPOD that's less than $300?
And I'm IT challenged; so, what software program should I use to download the CDs onto my computer to the device? I currently use the standard software that comes with a Dell computer. My headphones are Entymotic Research ER-S4s. Any advice is greatly appreciated.
I would stick with the IPOD. It's very clean and easy to use. It's single-purpose, but that's OK, cause you already have the Palm for other stuff. You'll use Apple's Itunes software. The interface is really ingenious and fun to use, and the device is amazingly tiny, that's why they are so popular.

I would go for the 8gb Nano. The 2000 songs it supposedly holds is based on the default compression, which sounds pretty bad to my ears. If you select a higher level of compression it holds quite a bit less (maybe a third that number).

This isn't actually my own solution, but it's what I recommend for you.
The best thing you can do to improve the sound of portable digital is to go to either a lossless, or uncompressed file. Unfortunately that means your songs will take up a whole lot more space. Try this with one of your favorite selections; rip it from the original CD as an mp3 (probably the default on your current Palm), and then try ripping the same song in a lossless format (Apple Lossless or WAV or whatever the lossless version PC users have). Listen to each, one after the other, and see if that makes a difference for you. If it doesn't then go with a Nano or other smaller iPod. If it does, you may want to rethink your selection to something with greater storage capacity. I use a 60gb iPod Photo (now iPod Video) and have all my music in either lossless or WAV. I'm sure the earbuds you have are up to the task.

I'm old school. iRiver still makes a very good portable CD player which blasts the iPod/mp3 compressed sound. It will drive the Etymotics easily enough. One model even has a digital out for a DAC. They are very suprising even when plugged into a home system.
Good advice from both Ehart and Marco. The combination of the iPod and iTunes is elegant, easy and powerful. There's no one right answer about the size of the iPod and the amount of compression, or lack of compression.

It's a good idea to always rip your CD's to your computer hard drive with lossless compression so that you're preserving the full quality and the flexibility to make copies at one of the lower quality mp3 bit rates with smaller file sizes to see what combination of quality, music choice and portability suits you on the iPod.

Like Marco, I keep Apple lossless files on a 60 Gb iPod and listen to it with Sennheiser PX200 headphones but I also have one of the new, tiny iPod shuffles with copies of some of those same files at 128 kbps and a pair of Sony earbuds. Those rigs represent the extremes of size and sonic quality and what works for you might be somewhere in between, like an 8 Gb Nano that Ehart recommends with mp3 files at 320 kbps.
I'm not opposed to an 8Gb iPOD, but how do I go about downloading as a "lossless" file? My Dell PC and Palm Pilot give me no choices that I know of. Will iTunes give me that option or do I have to download "lossless" software from the internet or is it something that I have to buy? If so, is it available from Best Buy? As you can see from my questions, I am indeed lost on this matter.

I found a previous thread in the forum that answers my questions. Much thanks.