Most people seem to solve this by using their burnt CDs and recode from there to whatever format they fancy. Ogg is in vogue, and my ideological favourite, although players are rare indeed.
Personally, I'm archaic enough to favour MDs still for ambulatory use. My wife however has got her eyes set on a 40GB iPod for MP3s, data storage and as a spare start-up disk in case of HD disaster. I might get hooked as well, but my toy-money is earmarked for a TungstenT3, unless the R420 or a PowerVR chip sees the light of day RSN.