If willing/able to go the DIY route, there have been OGR threads showing how to use low-cost MP3 players or MP3 sound modules.
I don't recall an S-gauge example off hand, but above shows one approach. This particular MP3 player is a ~3cm cube. As you can see, the speaker itself is not that large so I wouldn't call it room-filling sound. The tiny battery lasts maybe 1 hour or so before requiring recharging. I've always taken out the guts to change the power source, speaker, on/off control method, etc. to meet a particular application. This does require scrounging the web or "ripping" a Christmas CD to assemble your mix of MP3 music. A $2 memory card holds hours or weeks of music so that's not an issue.
