In a shameless plug for myself, I recently worked on an open-source side project for digital audio players (a.k.a. "MP3 players") that handles the client end of a 2FA system.

This form factor offers several advantages over a phone: first, some devices can automatically type your 2FA code by posing as a HID device, and second, some devices support hardware AES which makes it difficult to clone your tokens.

It's been merged into the Rockbox project: http://rockbox.org