I've gotta chip in my thoughts. I bought a Rio Cali 256mb to run bike and ski with. haven't tried skiing with it yet, but its the best deal i could find, is expandable with sd card, and works well for hour long runs (no skipping!). I would like to get an ipod to replace all my cd's, but i think that for skiing, and running a flash based system is superior because the HD based players spin up their drives on occasion (like every half hour or so) and they can skip tracks when they do that. not a big deal, but nonetheless annoying.
The headphones sucked, so i went with a set of nice sony earbuds (mdr-ex71sl) that fit under my wool hat. I would really recommend the headphones as they are oh so comfortable, small and have no whistling from wind at speeds. the downside of them is they died on me after 6 months, I think from the sweat but i'm not sure, they are a bit pricey at $30, and have an asymetrical, short cord which takes a bit to get used to, but works great with armbands or camelbacks.