Update
Thanks for the help so far.
Okay, I've narrowed it down to these three:
Ipod Nano (4 GB)
Amazon.com: Apple iPod nano 4 GB Silver (3G): Computers & PC Hardware
Pros: iTunes, lots of 3rd part accessories, and it's an iPod, which is basically considered "The Standard."
Cons: Price, having to convert all the music I have now to some other format, no expansion slot
Zune (4 GB)
Amazon.com: Zune 4 GB Digital Media Player Black (2nd Generation): Electronics
Pros: Wireless capabilities, a little cheaper than iPod, nice screen.
Cons: I don't even know where to get music and movies (legally) for non-ipod devices, no expansion slot, still pretty pricey
SanDisk Sansa e260
Amazon.com: SanDisk Sansa e260 4 GB MP3 Player with SD Expansion Slot (Black): Electronics
Pros: Expansion slot (I already have loads of SD cards for my camera and phone), price, Radio
Cons: Not sure about quality/reputation, not sure if it would handle a full length movie, and again, I have no idea where I can legally get music and movies for non-iPod devices.
I sincerely appreciate your help guys.