I had been looking for a good armband case for the Fuze for awhile, finally settling on this one from Caselogic:
It is made for the ipod Nano (3rd gen) but it is a good fit for the Fuze. I am placing mine in upside down so the charging slot is accessible, but if you place it right-side up, the headphone jack still lines up with a hole in the bottom of the case.
I will be cutting a circular hole to match the jog wheel on the Fuze, but that shouldn’t be too tough. It’s a good option, and can be had for much less than the DLO Action Jacket made for this player.