I like a high-capacity media player like the larger iPod. My 120GB Zune has my entire music collection, my first flight videos, and many pictures. It goes everywhere: plugs into the home theater, my truck, my RV-6A panel, and the CD player I keep at the hangar, not to mention on walkabout with me using headphones. I honestly don't care that much about radio (not since the 70s), but my wife likes XM for weather and traffic.
I still keep CDs, mostly as a backup for the Zune. I carry a portable DVD player (soon to be a Blu-ray) with my netbook just in case, but I rarely need it. My DVDs are all ripped onto MyBook drives, about 5TB worth, and I can download a dozen or so onto my M11x, which already has the backup of my Zune. That's more than enough for a trip; I don't watch a lot of movies when I go somewhere. The Alienware M11x has more than enough performance to play hi-def movies and has an HDMI interface to connect to a TV or home theater.
I am such a gear head when it comes to computers and media. Anyway, on trips I end up carrying my netbook, which I would anyway for email and Internet, and a cigarette-pack-size Zune and I've got it all covered.