I keep my e200 player inside a hard plastic protective case, which itself is held inside a leather beltclipped case. I’m definitely a beltclip kind of guy when it comes to my mp3 players. I agree wholeheartedly – no way should you ever put one these things in your pants pocket. That’s just asking for trouble. A shirt pocket is not so hazardous, except for, like you say, falling out when you bend over. The beltclip provides a very convenient way to get quick access to the controls when you need to pause/play or adjust the volume by feel alone. It also protects that oh-so-vulnerable headphone jack. I’ve never tried the armband thing. It looks like it would be quite functional, but it would cramp what little style I have.
The leather case is something I got from Wal*Mart. It was actually designed for use with one of the iPods, but the round hole for the scrollwheel lined up almost perfectly with my e200 when it was inside the Griffin case (which has a foldout stand built-in on the bottom), so I bought the case and modified it by enlarging the hole at the bottom for the Sansa’s 30-pin connector, by enlarging the square cutout for the screen, and by chopping off the flip top cover which had a little deal you could use to wrap your headphone cord around when not in use. My final modification was to notch out a little “V” in the scrollwheel hole for easy access to the Menu/Power button. I have to pull the plastic case out of the leather case in order to access the µSD card, but I view that as a good thing since it helps keep dust out of there and also helps keep that little guy from hopping out of there and zipping across the room to parts unknown should it ever get such an urge.
I, too, recently acquired a Sansa Fuze. I have been disappointed in the assortment of available protective cases. All I can find are the silicone type cases with the flimsy sheet LCD screen protectors, which appear to amount to nothing more than basically a piece of clear tape you stick over the screen to protect it from minor cosmetic scratches. I want something that will protect the screen from serious damage if I should happen to bump up hard against a wall or doorknob or something. The silicone cases are probably fine protection against drops, but I’d really prefer something similar to my Griffin Centerstage case I use for my e200.
The Fuze seems similar enough to the iPod Nano that maybe I could get a leather case designed for the Nano and do some of my custom modifications on it. In any case, pardon the pun, the Fuze will probably not see much action until somebody ports Rockbox to it.