Most MP3機 play music by reading sound files (.MP3, .WMA, etc) from either built-in or external memory cards. Since those cards are IC chips, music is transmitted purely by electricity. There is no moving part or motor. As a result, music playing is very stable no matter how you shake those MP3機. You won't hear any skipping or interruption when listening to music.
On the other hand, there are some new breed of MP3機 that have built-in harddisk which can store much much more music than the above IC chip MP3機. The problem is harddisks contain motor which must be rotated stablily in order to give uninterrupted music. Even though most of those MP3機 have implemented some sort of protection buffer to prevent skipping, enabling such feature would means higher power consumption and shortening of harddisk life.
There are several brands that make micro hardisk MP3機, e.g. Creative, Samsung, JNC. But if you really want this kind of super high capacity player, then I would recommend Apple iPod