I would like to know which pocket/handheld/sports radio has the best
AM band reception.  Good FM reception would be nice too, but AM is
most important.  My current radio, a Sony SRF-M85V S2 Sports Walkman
Armband Radio, picks up a lot of static at the gym as a result of
electrical interference from the various exercise machines.  The
treadmills I use, in particular, create severe distortion.  Because of
this interference and the inherent low quality of AM radio, I know
that I will never get crystal clear quality, but I would like the best
possible signal.

Am unlike FM small radios (which can use the ear phone cables as
antenna) use a ferrite core antenna which is highly directional.
Sometimes the radio can be orientated for best reception and best
interference rejection.  However, for all practical purposes there is
no solution to your problem, AM will always be extreemly sensitive to
interference. I understand you pain, all our talk shows here in
Vancouver are on AM.