One more thing. All these devices are designed for line level input (high voltage, high impedance, low current -- relatively speaking). Driving them from the headphone out (low voltage, low impedance, high current) will not work very well.
If there are any MP3 players with a line out port, I don't know about them. Players with proprietary connectors (eg, Fuze) usually provide a line out signal throught this connector (it's not a true line out, but that's another story). You can use a dock or LOD to connect such players, with better results. Entry-level players (eg, Clip) do not have this option, and you can only use the headphone out to connect, in which case you will need some device (eg, a headphone amp) to boost the signal. (You may need to boost the signal even when connected with an LOD.) A stronger signal is particulary required for the FM options, because they are inherently "noisy".