Firestone Audio Fireye Headphone Amplifier ($39)

Most so-called "portable" headphone amplifiers aren't small, but the Firestone Audio Fireye Mini is just 1.5 inches by 1 inch by 0.5 inch, and the soft-rubber-shelled amp weighs almost nothing, so you can hang it off your MP3 player or any device with a 3.5mm headphone output. Plugging in a headphone turns the Mini on and lights a bright-blue LED; unplugging turns the amp off.