Great site here:-
http://www.advancedmp3players.co.uk/shop/
Loads of mp3 players around - some cheap, some expensive. Look out for reviews.
Quite a few mp3 players with FM transmitters in them but any transmitter with a headphone jack will work. Try Google for FM transmitters etc.
Check out Maplin (often dearer than others) and also the iWorld sites:-
http://www.iworld.co.uk/iWorldSite/pages/home/ default.asp?gclid=CJSR3IDz7ZYCFQwNGgodOlUwrg&c ookie%5Ftest=1
If you don't find a player with good headphones, have a look around, Sennheisers are a good start but you can pay a lot for some very good ones.
I can heartily recommend the 'earthumps' at a reasonable price:-
http://www.amazon.co.uk/s/?ie=UTF8&keywords=ea rthumps&tag=googhydr-21&index=aps&hvadid=33978 33245&ref=pd_sl_8gt88nguga_b
and other places.
Happy hunting!
Make sure that you get one (similar to Ethel) that works simply with Windows (ie. drag and drop you music both ways) rather than having to use specific software like iTunes (although some people would swear by it *****).