Legal MP3s: used CDs + EAC + LAME 3.96.1 --preset extreme (I know, I know, but I can ABX two songs from standard, so there!). $6-$10 per CD, so very cost-effective, though it requires time. Really, I just try to make 2/3 of them used, because some you don't find used, and must give $ straight to the RIAA for (I realize it is just shifting, but I like that the RIAA money came from someone else's pocket, not mine 🙂), such as Pink Floyd albums in general.
For MP3 players...none yet (DJC01, RIP), but I may have to give in and get a iAudio G3.