There are a ton of mp3 players out there , some good and some are poop.
I originally bought a Sony that used little mini-disks , the concept seemed cool , USB connect to the pc and away you go !! or so I thought , it took literally over an hour to transfer to a disk on that thing and it had the silliest , convoluted software I have seen yet.
Ipods are all the rage of course.
I use this little jewel
http://www.amazon.com/gp/product/B00006CXS8/002-0152809-7621671?v=glance&n=172282&v=glance this player is fine for me but some folks like a lot of gigs for storage.
Things to think about..
I like mine because you do need to use
any software at all to transfer songs , simply use Windows Explorer

, mine has a slot for mem cards , I got a 265 in it , I find that the 128 and the 256 card make enough space for me (about 70 songs) , do you really need to tote around your entire music collection ? Some folks do I guess. Mine was about 60$ when I bought it , I've dropped it several times and once in the gutter full of water , it still works like a champ plus it has FM radio if you get the notion.
You want something sturdy if your going to be carrying it around. Is price a consideration ? Is the interface easy to use ? Is there stupid software you have to install on your pc ? Some of the programs will not let you transfer mp3's without a liscense or some such.
Good luck hope you find what your looking for
