Dunno about compact flash card support, but RCA Lyra's 128meg w/ SD slot are about $80. I don't know of any players that have compact flash ports, beyond maybe something like a PDA with audio / media player capability ... but then you're getting into some hard cash.
My dad just picked up a Classic CHD500 10gig for $150 at Circuit City ($200 - $50 mail in rebate). Seems to work pretty good, he's using it for motorcycle trips ... he rides a Harley ... if it doesn't skip on a Harley, it ain't skipping
Has a basic menu on it for Artist, Album, Genre, and Tracks for navigation. EQ Presets, and a Graphic EQ for fine tuning. Comes with a 1/8" stereo mini plug to audio RCA male plugs to hook it up to a home stereo, and some small headphone buds ... dunno how they sound, I just used my big ass Sony cover-your-entire-head headphones, and the sound output was very good.
It comes with instructions on how to copy music over via Music Match Jukebox (which is included) or Windows Media Player ... but I just drag and drop from Explorer, and it works peachy. Very easy to get music onto it ... if not a tad slow (USB 1.1)
I know a friend got one of those RCA Lyra's, and you have to use a media player (either Jukebox or WMP) to copy music to it, because it actually converts the file to something other than mp3 ... even has a driver that has to be installed for the device. If you just drag / drop from explorer, it won't recognize the mp3. And since it's being converted, it takes considerably longer. She only had the 64meg version, and it took nearly 10 minutes to fill it up with songs. I copied 600+ megs to the CHD500 last night in 20 minutes. Or ... I haven't tried this yet, but probably will for the next batch of songs ... rip directly from CDs to the CHD500 ... hmmmm
The other nifty thing about the CHD500, you can use it as a 10gig portable USB hdd. Not a bad deal for $150 (compared to an iPod for $400). Rio has a 10gig and a 20gig version of their Rio Riot. The 10gig is around the same price as the CHD500, but not sure if it's as easy to copy shit over, or if it's like the Lyra where you have to do it through a media player.