Which MP3 player is best for AUX socket with 3.5mm jack????

It doesnt matter, its just a headphone socket, so none will make the slightest bit difference as its not an intellident port, personal preference of which you prefer to own.

Actually, I disagree. The Aux-In might be the same physical size as a headphone socket but they are different things. A proper Aux-out is much higher power than a headphone-out. So if you just plug your headphones into the Aux-in you need to max the volume on the device and on the radio. This a pain-in-the-bum when you want to switch back to stereo or CD.

If you buy any Apple device with the 30-pin socket then you can buy a proper Aux-out adapter for the device and get vastly better sound quality. This is a great unit which I have used for several years with great results:
Griffin Autopilot Car Charger for iPod and iPhone with: Amazon.co.uk: Electronics

It's all to do with impedance matching, headphones are low impedance between 8-100 ohms, a line level is typically 50k or 50,000 ohms.

From what I remember from college going from low to high impedance is never good.

So it is best to match impedances and if you have a line level aux input then drive it from a line level aux output.