Unless you're planning to listen to solely lossless formats, it's all about diminishing returns with mp3 format.
I'd say check out head-fi.org for audiphile recommendations. In my experience, Creative sounds great with Sansa's Fuze and Clip neck-and-neck and iPod last. iPods don't sound crappy, they just sound a bit over-processed at times. If you want to buy a lesser-known but well-respected brand, check out the models offered by Cowon. I haven't heard them, but the guys on head-fi seem to like them a lot with the Sansa Fuze/Clip.
For headphones, people raved about Grados, but the open-air design might not be suited for gym, train, public. Eytmotics and Shures get a lot of love for in-ear designs.
If you asked me and I was a friend, I'd say get a Sansa Fuze or Clip and a pair of JVC Marshmallow earbuds for 20$. You could spend more on headphones but if you're really not planning to adopt listening to lossless and esoteric formats like FLAC and Monkey and elite soundcards (that don't really exist in mp3 players), it turns into money wasted.
Can anyone say for sure if there is one single mp3 player with the absolute BEST sound quality and volume? Also what would be the BEST headphones to use with this player (under $300.00).