We have one and love it as well. We are also on our second set of headphones but that isn't Fisher Price's issue, that would be my DD who can break anything and everything, she hasn't managed to hurt the player yet.
We just got the little boombox set of speakers for it, you just plug the player in it, DD hasn't ever had to have me teach her anything about it, she was able to use it right out of the box.
Love that I can put our own music on it, love that I can put an SD card in it, I also love that I can go to the website and get more stories and songs there. The only thing I wish I could get more of is the little icons for the songs.