Not made for any player in particular, and fine for the Clip: the Lewis N. Clark WaterSeals Standard MP3 Waterproof Pouch, $18.99 + tax shipped (in the U.S.) from Buy.com (plus with $10 off if using Google Checkout). Great price, and a nice product especially at the price. Also available thru ebags.com but without free ship. (And actually, my buy.com purchase seems to have come from ebags in the end.)
Essentially a heavier gauge blue-tinted plastic pouch, with 3 ziplocks to keep the pouch innards waterproof and a carrying/neck cord. Includes waterproof triple flange (soft) earbuds that are attached through the pouch. The sound is not as high quality as my $40 earbuds, but acceptable (and you always can attach other earbuds/headphones if you like, albeit not with waterproof protection–there is a headphone connector outside the pouch). All for under $20.
The Clip functions just fine through the pouch, for navigating. You can’t, however, use the side controls through the pouch (although the volume control might be somewhat feasible, although not immediately easy). Be sure to get the large (standard) sized pouch–I think the smaller pouch would be too tight a fit (my Clip in a case fit fine enough into the standard pouch).
Now I can use the Clip in the Jacuzzi without fear of it falling into the water, or without fear of my earbuds getting ruined or falling into the water. I must say, I haven’t had the courage, yet, to allow the pouch to go underwater, although it is rated down to 9 feet (I keep the player at the side of the pool, but without fear of it falling in)–something about an electrical appliance and water makes me a bit nervous to do that … (If you don’t hear from me here in the future, you’ll know that I tried and that the pouch is not truly waterproof …)