If you're in the market for a dedicated, easy-to-pocket audio player that can handle the occasional video then it's hard to beat Sony's new Walkman S-series of players.
The micoach Elite System includes a small data cell that fits into a player's base layer in a protective pocket on the back between the shoulder blades.
You will either need to download a third-party player I suggest the free, and excellent, VLC Player or put your hand in your pocket and pay Microsoft for the Windows 8 Media Center Pack.