You told us what you want in a pocket multimedia player but you didn't mention what you want in a personal organizer (PDA).
Sounds like what you really want is an Archos Jukebox (
http://www.archos.com/) that can store and play MP3, JPEGs, DivX, etc.
If you want an easy to use PDA with some multimedia capabilities, go with a Sony version of Palm. If you want a handheld computer that does more multimedia and gives you all the hassles of Windows, go with an HP Pocket PC (iPaq).
You should settle in on a price you're willing to pay. You want all of the features for "as little as possible." I can respect your need to stay affordable, but technology with "all the goodies" is never inexpensive.
Good luck and let us know what you get.