I wanted a player, but the iPods were $250+ and I didn't want to spend that much and didn't really need the amount of storage they offered.
I got an iRiver 795 instead. It's a 512MB MP3 player with an FM radio built-in. It can also be used as a recorder, to record off the radio or through its mic. They also have a 1GB version.
512MB is not a huge amount of space, but I don't have (or like) every song on earth, nor do I want to download every CD I have into it (and I don't have that many).
I will say that the little iRiver sounds great. The earbuds it comes with are very good (some players come with cheap buds that you toss right away and buy good ones).
I get most of my music from walmart.com at 0.88/song.
One difference between the iPods and the players like the iRiver are that the iPods have mini-hard drives installed (giving them much more storage), where the iRiver uses flash memory, which provides less storage, but is less fragile because there are no moving parts.
I just use my PDA.