That's why, I came up with the AA Undershield. It uses 2 AA batteries and boosts the voltage up to 5V, using a MAX756 IC to power the Arduino.
You may ask why I'm not simply using 3 or 4 AA batteries to power the Arduino. The reason why, I'm not using batteries to drive my Arduino directly, is that they're not regulated. Right after, you've recharged your battery, it may supply 1.4V, even though it's rated for 1.2V, so there's a risk of supplying your Arduino with too high or too low voltage.
Here is a video of the Arduino Diecimila and the Adafruit Waveshield attached to the AA Undershield. I've uploaded an example code, that changes the playback speed, when you turn a potentiometer. Other analog sensors will also work.
I apologize for the poor sound quality in this video. The mic in my camera is really bad.
The AA Undershield can also be used with many other 5V devices.