That portable XM radio is here: the Delphi XM MyFi, a $350 portable designed to be used when either out and about or in your car. Notable features include an entirely-internal antenna, a "Memory Mode" than can store up to 5 hours of content right on the device (flash or hard drive, I'm not sure; I think flash), tons of accessories including a desktop dock and car kit, and remote. Look hot, but very expensive for just a radio. We'll have more in a minute, but I have to track something else down that is exploding.
Update: There is no hard drive, only flash memory. And no flash card slot so you can upgrade capacity. I just confirmed it with Delphi, in fact.