I listen to audio books on runs, and I've found some excellent recordings of classics. I recommend King Solomon's Mines , Dr. Jekyll and Mr. Hyde, 20,000 Leagues Under the Sea, and Around the World in 80 Days. If you like mysteries, I can also highly recommend the No. 1 Ladies Detective Agency series; the performer is excellent. (Later books in this series can only be considered mysteries in a loose sense, but I have enjoyed them very much.) The recording of Ender's Shadow is also good.
I can't comment on cost, though -- so far, I've checked out all my audiobooks from the library, most of them electronically. (I have one of those other digital audio players that plays nice with Microsoft's DRMed formats.)