Best Portable Digital Device

I currently use a Palm Pilot (Tungsten E) to listen to music when traveling on a plane, but it's not very handy to use while exercising. So, I'm thinking about buying an IPOD Nano (4G) - $200. I've got hundreds of CDs but can't imagine loading more than the 1,000 songs that the Nano supposedly stores. Is there a better product out there than the IPOD that's less than $300?
And I'm IT challenged; so, what software program should I use to download the CDs onto my computer to the device? I currently use the standard software that comes with a Dell computer. My headphones are Entymotic Research ER-S4s. Any advice is greatly appreciated.
I would stick with the IPOD. It's very clean and easy to use. It's single-purpose, but that's OK, cause you already have the Palm for other stuff. You'll use Apple's Itunes software. The interface is really ingenious and fun to use, and the device is amazingly tiny, that's why they are so popular.

I would go for the 8gb Nano. The 2000 songs it supposedly holds is based on the default compression, which sounds pretty bad to my ears. If you select a higher level of compression it holds quite a bit less (maybe a third that number).

This isn't actually my own solution, but it's what I recommend for you.
The best thing you can do to improve the sound of portable digital is to go to either a lossless, or uncompressed file. Unfortunately that means your songs will take up a whole lot more space. Try this with one of your favorite selections; rip it from the original CD as an mp3 (probably the default on your current Palm), and then try ripping the same song in a lossless format (Apple Lossless or WAV or whatever the lossless version PC users have). Listen to each, one after the other, and see if that makes a difference for you. If it doesn't then go with a Nano or other smaller iPod. If it does, you may want to rethink your selection to something with greater storage capacity. I use a 60gb iPod Photo (now iPod Video) and have all my music in either lossless or WAV. I'm sure the earbuds you have are up to the task.

I'm old school. iRiver still makes a very good portable CD player which blasts the iPod/mp3 compressed sound. It will drive the Etymotics easily enough. One model even has a digital out for a DAC. They are very suprising even when plugged into a home system.