I have a Sony Walkman NWZ-E436, and it’s generally an awesome MP3 player. It charges quickly, has great storing capacity, and is durable.
However, its “shuffle” function leaves a lot to wish. Basically, pressing “shuffle” just means it’ll create a randomized, but static, new playlist. And whenever you use the “shuffle all” function from the main menu, you have to listen to or skip your (alphabetically) first song before that playlist even starts.
My solution to that problem was to add a one-second silent MP3 file, with a name that’ll put it on top of my list ($$.mp3, song title: $$). Then the actual (albeit static) “shuffling” can commence.
You can find a number of blank, short MP3 files by googling silent mp3 file. Download one of them, rename the file to $$.mp3, and place it in any folder.
Another problem I had was fast forwarding when listening to podcasts. It’s slow. Anyway, I found that it’s much faster if you pause the audio track, and then fast forward. To my knowledge, that feature is undocumented.
Update, 2014-11-12: I changed the link to point to a working site with silent MP3s. My own link had gone dead.
Update, 2018-06-25: The link to a site with silent MP3s had gone dead again. Left a link to a Google search instead.