I carry a phone, an ancient Samsung V200, but don't use it very much. I have a wallet for cash and a few cards. In a pocket of the wallet I have a guitar plectrum and my old 128MB flash drive. It's a very flat one, so doesn't make much of a bump. I always wear a watch out of habit. It's currently a solar-powered Casio Wave Ceptor that should always have the correct time due to picking up a radio signal every night.
I like to have a PDA with me as my phone doesn't do much in that area. I used to use my Palm Zire 71, but have been trying to switch to the Acer n35. I got the Acer for it's GPS for Openstreetmap, but it's also a better audio player than the Palm. I just haven't got around to moving all my address data across yet. Synching a Pocket PC to Linux is not so easy. I keep thinking that I should get something newer, but can't justify anything expensive. Maybe there's a cheaper phone that would give me most of what I want so I could just carry one gadget. Mind you, one the train last night I was surrounded by several suits all twiddling their Crackberries. Two had audio players as well even though I would expect the 'berries to be able to handle audio. I know that combining gadgets involves compromise, but you just run out of pockets.
For listening to audio on the Acer I have some Sennheiser earbuds. I've been listening to lots of podcasts lately. I've not been travelling far enough to run out of battery lately, but I could use my Freeloader if I had a USB power lead. Whatever gadgets I buy in future should run from USB power. It means you don't need as many power supplies and I spend a lot of time near a PC.
I see some people blogging about all the gadgets they carry around, usually requiring a bag. In some cases it just seems excessive. If they get mugged that's a lot of stuff to lose. Mine probably all cost a few hundred when new, but is not worth much now. My financial situation helps my anti-consumerism to win over my GAS.
That's enough of my rambling. Anyone else want to list what they carry?