I can personally recommend the Zoom H2 - records, plays back, names and splits files, saves to SD card, connects to computer with USB and is pretty reasonably priced for the quality it provides. Also you have the option to record in multiple formats - wav & mp3 in varying speeds, as well as mono, stereo and surround sound.
EDIT: I just checked the price on Amazon and oddly it's being sold now for an insane amount of money - $350 vs the approx. 150 I paid about 4 years ago. There seems to be an updated version called the h2n available for 180. It has good reviews, so do your research.