hmm interesting.
all signs clearly point to nate dogg.
but when he said that the mysterious person musta taken it, how did he say it?
was he nervous and kinda shouted it out quickly or was it a normal speaking voice.
If you haven't asked him about it, do so right away.
first be like "yo are you SURE you don't know about my mp3 player?"
give him one last chance to confess.
then go ahead and beat his ass man if he doesnt confess.
but make sure you looked everywhere, i mean everywhere.
and that you didn't misplace it and its not on the couch or behind the fridge if it fell off.

anyway hope that helps.