Most surprised by how cheap (all sub $200) DVD players are these days. Also the fact that most of them (even those from Sony!) support playing DivX (the video equiv. of MP3) as well as a million other formats including MP3.
MP3 players are getting a lot cheaper, but are still about twice what I'd comfortably pay for them.
My favourite gadget is something I've wanted for a long time. An external hard disk case that is also a fully functioning remote controlled media player, Mediagate MG-25. Played anything MPEG4 and MP3. Stick a hard disk in it and you're ready to go. Also acts as a normal USB hard drive so it's easy to put your data onto it. Much cheaper than a media PC at around $200. If only it recorded too ;p My only gripe is that it takes laptop (2.5") hard drives which means at least another $150 for me. I have a few spare 3.5" drives. There are some 3.5" versions of this product but not as good and more expensive. I see no reason why they have to be.