We've seen JVC's Digital Audio Player XA-AW33-W is the first we've seen that's custom-made for the bath. At least, it's the first one we've seen that's made to float., but
The player holds up to 256MB of songs, and is battery-powered so that you won't need to worry about frying yourself in the tub. Its stand lets you listen to the player in unfloating mode, and the song-loading process is handled by a USB connection to your PC--when it's out of the tub, of course.
On the downside, it looks a bit like a musical urinal puck. Then again, that means you can find creative ways to show the player what you think of it, if you're less than pleased.