Tascam Bass Trainer. I've had the BT-I for quite some time. Don't know how it measures up to the II. Doubles dandily as a plug-in headphone amp and a regular CD player.
You'll have to burn the stuff from your computer, though.
They have an MP3 version now
Wish I'd have got that one instead of the CD version, because like Frank says, you have to burn cd's.