My
Creative Zen Vision M does that. You can browse into the folder and hit the bottom right button and choose "Add to Selected". You can also create a playlist via the Creative software when it's connected to the computer, but I haven't used that feature.
I love this thing. Yes, it's a few years old, and yes it only has 30 GB (I think they have a 60 GB model though), but it's treated me well. Plus, it does video!