Portable VLC from PortableApps.com. is based on the excellent open source media player VLC that you install onto your removable drive, and use to play media. Then there's Portable Winamp 5.1 Lite with iPod support. The "Lite" means it includes the bare-bones audio player, eschewing video, media library, "modern" skin support, and so on, but as the name implies it'll connect to your iPod. Portable VLC is a 7.2MB download while Winamp is a scant 1.2MB.