Shake your groove thing. The Sansa Shaker lets your kids shake, literally, from song to song. It's an MP3 player which can be used with headphones or the built-in speakers making it great to take to the park or a friend's house. To change songs, just give it a shake.
They come in pink or blue (where's your imagination, SanDisk?) and are quite small - about 3" x 1.5". They sell for around $50. You can buy them here where they are generally well reviewed.
Another MP3 player for kids: