Not only can this StormBlue A9+ connect to your A2DP Bluetooth stereo headset for music on the go, it can connect to your cellphone as well. Why would you want to do that? Well, er, uh, to transfer music between the two, we guess.
In any case, it has MP3, WMA, OGG, WMA and DRMed WMA support, and comes with software convert WMV, AVI, and ASF files to its native format for vide on the go. Battery life is great at 11 hours for video and 39 hours for music, no doubt because it's a flash-based player at 4 and 2GB sizes. There's even an SD expansion slot for even more memory. Available for $207 (2GB) and $283 (4GB).
Product Page [Advanced MP3 Players via Reg Hardware]