If you want to do the workouts at home or in hotel rooms, then it is hands down the Apple ipad in my opinion.
For the gym, the Apple ipod nano is most compact and can be work on your wrist for peeks at the screen as you do your workout.
The iPhone / iTouch is an awkward size. It isnt small enough to really be "wearable" and is too small as a portable TV-cum-player in my opinion, but YMMV.
Any player that can take H.264 format of video like the Zune will work too.