The Sony walkman
Is to my mind a good mp3 player. I bought one because I wanted to be able to listen to the radio as well as play tunes (podcasts, recorded radio drama, etc) and there was nothing else available with a name I trusted.
I found the earphones up to the job. I had cause to replace the phones not because I wanted better sound but because our cat bit through the supplied pair. The replacement pair were a gift from my wife and the response from those is superior (or over the top - I had to customize the Equalizer to trim the bass down...).
As to being too quiet (I take it you did turn off the volume limiter?) while I never found difficult to hear anything the output is low when plugged into the mp3 socket of a (Honda Jazz) car stereo.