I do the same thing, with a PDA I got for free as a door prize attending some event. I think I paid $75 for the 1G memory stick.
What I like about using my PDA as a music player is that it will allow my calendar program to pop in over the music and remind me about appointments or meetings.
I am very surprised MS did not emphasis this UNDER used feature of their PocketPC system.
I view the Ipod (and mp3 players, as just neutered computers. The Ipod more so since it is Itunes dependent)