Don't play an instrument? Learn the Harmonica, it's easy, cheap, portable, and sounds great.
Go to this guys webpage:http://www.volcano.net/~jackmearl/index.html
he has excellent free online lessons, and songs to practice. The songs are written out in very easy to follow number system (#1 = hole 1 of harmonica, #2 = hole 2, etc), and for each song you can click a play button on the top right of the screen to hear the song played.
Therefore you need no musical background to learn, just start playing according to the numbers and according to the beat you hear when you play the audio sample.
I made a collection of the better songs and their respective audio files (I downloaded the audio files from other random places on the net) and saved it as a .rar file (use winzip or winrar, both free, to open it). So I have everything I need and don't need to connect to the internet to practice.
You can carry around your harmonica and practice it wherever if you put the audio on your ipod and print out the song numberings.
Download the .rar file I attached if you want it.