connecting to your car will have little to do with the player. for that you have a few options:
-fm transmitter - the worst connection. range from $20 to $40 and can be powered from the cigarette outlet or from a battery. need to find a station with little interference. signal quality depends on how well your car recieves the fm signal and the position of the transmitter. i had one and i hated it. always fuzzy, and once i thought it was working well, i would get a static hiss.
-fm modulator - requires installation. a step up from transmitter, this is powered from your car (splice in i think) and kinda "cuts off" the cars antenna. it plugs into your stereo where the antenna used to, and then the antenna plugs into it. i havent tried this, but it should be better than the transmitter for sure. $50 + installation
-tape deck - this should actually be the easiest way. its cheap, easy, and the sound quality should be better than either of the 2 previous methods. if you have a tape deck, this is the way to go.
-aux input adapter - later this week, im actually finishing up my project. on most factory car stereos there is an extra plug in the back for the optional cd changer. this adapter plugs in there and allows you an extra input (your mp3 player). this should be the best solution. $60 + installation(DIY?) talk to g0dM@n, he works for a company that makes these if you're interested.
back to the player itself, the zen touch might be a good one, but looking at the specs, its pretty big. if you're concerned about the size, i would look at the archos gmini xs200. its really tiny, and seems to get great reviews.
http://reviews.cnet.com/Archos_Gmini_XS200/4505-6490_7-31151949.html?tag=pdtl-list
another good option is the rio karma. it has some poor user reviews, but theres a ton of people who love it.
http://reviews.cnet.com/Rio_Karma__20GB_/4505-6490_7-30474134.html?tag=topprods