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Early Creative Muvo's might work for you.
No, those were USB sticks with battery halves but nothing like what the OP is asking for.
I have a 6GB Sandisk player that has a MicroSD slot so you can play media from that.
I knew a guy with just such a device some 4 years ago now. I think it was made by sandisk. damned if I know if they still make em.
EDIT: http://www.amazon.com/gp/product/B0..._m=ATVPDKIKX0DER&pf_rd_r=1KEYJY41FFWBVMP80DE9 here's one, not hard to google at all as it turns out