to begin with i will say that i have never used any of these methods... but this is what i have compiled of other people working towards the same ends.http://www.mobilemag.com/content/100/335/C10069/
This fancy device here would be good for playing music (and roms) but it's major downside is that it only holds 512 megs of data!http://www.dsfanboy.com/2006/07/06/ds-fanboy-vs-gba-movie-player/
this is a very good review of the gba movie player. this is probably one of the easiest to use and is compatible with most everything. the software for converting your files is a bit clunky...http://m3adapter.com/products.htm
the M3 is very popular and has a good feature set.http://www.gameboy-advance.net/nintendo_ds/nds-supercard.htm
There is also an official MP3 player from nintendo. I think it is only in japan and UK right now but you could import from either. ipod is a bit too big in the US to compete with i think... but any how...
Ultimately the problem that everyone seems to run into is that for movies the DS is less than average. MP3s also need to be converted to a NDS aduio format. they seem to looks a bit of depth and range when doing so. I hope that helps.