There are such devices available. Stay away from the cheaper ones as most of them do not support MKV playback.
I know that the Sumvision Cyclone Micro 3 (http://sumvision.com/productinfo/micro3b/micro3b.asp
) supports most if not all formats, and is not that expensive at £38.46 from Amazon
The older Cyclone Micro 2+ model is cheaper but doesn't support as many file types, although is a bit cheaper, at just under £30
I myself have a first generation Sumvision Micro, it is a great device, but it doesn't support MKV or MP4 files which is a bit of a pain.