My old Samsung MP3 player has one, but they don’t make it any more. The closest thing to it that they still make is the YP-U3, which is a bit bigger. The Sansa Clip is my fave, and it has the added advantages of being cheap and still in production. The newer iPod Nanos also qualify, but they cost a lot more than the Sansa. Even the higher models of Sansa with more features than the Nano cost less!
@jfjuk Yet another reason I love my Droid X; built-in FM tuner. Granted, I usually stream internet simulcasts of my favorite FM stations, but I do have the FM option only a button press away.