MD Player > MP3 (CD) Player in quality is complete BS. The quality of the music on your MP3 (CD) Player is dependent on the quality of the songs you've burned onto them, and the quality of your headset.
Assuming thats what you meant when you said MP3, if you meant the tiny lil' MP3 players, well, again, it's dependent on the quality of music you have. In this case, I'd probably go with the MD Player, since it's possible to overburn some of those tiny CDs and get an extra song or two ^_^
I don't really notice the size of the MP3 (CD) player since I usually wear cargo pants, yea. My pockets are usually big enough to hold it.
Aye, GrayDuck is also correct, iPods are quite teh sechs. Isn't there a sony version of it?