It's not really fair to compare a player with a full color screen to one that has no screen (iPod shuffle). The screen is probably where most of the power is being used. Big headphones also use a lot of power. You could try using earbuds (if you aren't already) and maybe there's a setting to make the screen go to sleep more quickly.
I received this as a gift at Christmas and I love all of the features, the design and how easy it is to use. My one problem has been that after I charge it the battery charge runs out very quickly - within 36 hours regardless of if it has been used. The reviews that I have read claim that it has a long charge. I contacted cutomer service and sent it in for a new battery, but it was sent back to me with the same battery and a note that said it was a music format issue (all of the music I had downloaded was gone). Unfortunately the same problem exists. I am really disappointed when I am ready to use it and the battery is run down. I end up using my iPod Shuffle as its battery lasts forever. Any suggestions about why this happens?