I am also a happy Z5 user and I believe that technology has advanced to a point where we have seen what I consider to be an ideal size for flash based players. There are smaller flash players available, but anything smaller than a Z5 would be impractical for music navigation and album art/photo/video viewing.
If extra features are important to you (video, FM, voice recording, expandable memory) then get the Sansa E200 series. Be aware, however, that there have been 2 firmware updates that have already been released within the first 2 weeks of it's official release! There are still various glitches on the Sansa and working them all out will definitely be a work in progress -- Be prepared to do lots of forum surfing if you want to get a trouble free Sansa E2xx. The second firmware update, for example, has provided only a PARTIAL fix to the album track order issue but it has now imposed an unfortunate 10 minute time limit on videos!
I recommend that you check out my 4GB silver Z5 review (titled "Why I chose the Z5...) for more details on the differences between these 2 units. I also started a thread on this forum called "Z5 versus the Sansa E200 series."
For what its worth, you should DEFINITELY check out CNET's MP3 buyer's guide and you'll see that the Z5 has been awarded "Audiophile" status. Here are the corresponding threads:
http://reviews.cnet.com/4520-11297_7-6510133-1.html?tag=arw
http://reviews.cnet.com/4520-7964_7-5134106-3.html?tag=tnav
In terms of audio quality on the sansa, I know that the Sansa E200 series uses the PortalPlayer chip which leads me to believe that the audio quality is probably comparable to the Nano's because the Nano also uses the PortalPlayer chip (Check out AnythingButIpod for more info on the Sansa E200 chip). I follow all the forums and I did notice this comment from Jasmine France (A CNET Editor)in her post about the Sansa E270:
"If you only need 4GB, consider the Samsung YP-Z5 instead. It offers better sound quality. In fact, it's tested the highest of any player so far. (We were loaned some audio monitoring equipment that we're now using to test the sound quality of MP3 players. Stay tuned for a story about the results.)"
Based on these two findings, I would speculate that the Sansa E200 series audio quality falls somewhere between the Nano and the Z5.
If audio quality isn't at the very top of your list, the Sansa E200 series destroys all the competition in terms of features offered for flash players with this form factor.
Back to your intial question though...
I've heard that the newer microdrive players are much more difficult to damage via sudden movement. The thought of moving parts, however, still warrants cause for concern so I'd stay with a flash player just to be safe. I exercise 3-4 times a week and have never had a problem with any flash player skipping. I've heard of ipod users who have suffered from long term damage from exercising with their HDD players, so be careful if you decide to stay with one -- Just because you don't hear it skip doesn't necessarily mean that you are inflicting gradual damage to the unit.
If I were you, I'd buy the Sansa first at a Best Buy (good luck find a working demo though... I've seen broken floor displays in 2 different stores) because they also have the Z5 and a 30 day exchange policy. The extra features are admittedly very enticing. If its too much trouble you can always switch to the Z5 which, from personal experience, is an EXCELLENT player that works exactly the way it claims to. I personally believe that the Z5 is the best flash player currently available. Ultimately, your decision should come down to assessing how important the extra features are and whether you are willing to invest in the time it will take to get a trouble free E2xx. I hope this has been helpful.
Good luck on your next purchase!
Slydini