I have an older version of the Creative Nomad Muvo (128MB) and it works well for working out. Doesn't have an arm band, but their line has really expanded, so maybe some of their new ones do. Here's their product
list . I'm thinking about getting a new one of a similiar model to get more storage space. It looks the the Nomad Muvo 2 X Trainer model straps onto your arm.
What I like about the Muvo I have is the simplicity/versatility. It is essentially a USB jumb drive. Just drag and drop files onto it and plug in your headphones.
I had tried another one previous to that (an RCA one) and the interface was so poor I returned it out of spite. You had to load a 250MB browser on your PC just to get files onto it. That is a crappy interface.