My personal recommendation
It’s rather difficult to pick just one walkman for all uses. We the collectors like to have many and we like to enjoy them at different situations, so I’ll expose which ones I like the most and why.
For daily use (street, metro…) I’d pick a small and thin SONY from the late 90s mainly. They sound pretty good, they are small and light, comfortable to use (autoreverse, wired remote…) and the batts can last for long. The belt is very easy to replace and the design is rather modern (well, this depends on which one you choose). The bass amplification system can help you a lot in noisy environments; anyway I’d highly recommend a good IEM or a small full-size sealed headphone like the BOSE AE2.
SONY WM-EX615 with BOSE AE2, good for daily use... and very cool.
If you prefer something more appealing, I would suggest you a cool-looking one, like a transparent WM-504, a white 509, a rare EX9 (aka 'Chameleon') or a super-rare Toshiba KT-500. They look so cool. And sound good too.
For home or work use I definitely recommend a DD with full-size open headphones. You will really be pulled into heaven with this combination. Really. If you don't want any of the best ones, I would suggest a DD30 or a DD33, which are amongst my favorites.
If you want simply the best, go for a D6C, a DC2 or a DD9, and add an excellent headphone. Taking in mind that there's a hig probability that all them have some technical problems because of the age, I would suggest a D6C as it is probably the easiest to repair. But if you prefer a smaller DC2 or DD9, consider contacting Dr Walkman to perform one of his extraordinary repairs to get your walkman at its best. You will be blowed out for its sound, specially if you have good enough recordings.
And no, when I say excellent recordings I don't mean recording from spotify/MP3 with your computer and the integrated sound card. Get at least the original CD or uncompressed music and a really good sound card or an external DAC, like the JDS O2 DAC, which is excellent and cheap and use it as source for your deck.
My beloved SONY 'Super-DC2' upgraded by Dr Walkman with an extraordinary Sennheiser HD800, through a CMoy.
Don’t forget to use decent tapes. Needless to say that the better the recording, the better the playback (yes, it sounds stupid, but you cannot imagine how much truth lies in that statement). An excellent recording sounds better in a budget walkman than a standard recording (like those made in a boombox) in a WM-D6C. So I really recommend a good 3-head deck for doing those recordings. Want to know more? Take a look at my complete guide for good recordings ;-)
My thanks to Vince for his help correcting this article.