It depends on what you're going to use it for. If you're going to use it for exercising, you might want to go with a solid state device (something that uses a card for storage) instead of a hard drive device since that relies on fast moving parts that are sensitive to rapid movements and drops. There are CD mp3 players out there too, but they hold so few songs, and are subject to the same moving parts problems as the HDD's that I think they're just not worth investigating.
Hard drives definitely have an advantage in storage space, though. If you go with a hard drive, get the Ipod, especially if you have a Mac since they integrate together very well. the Ipod can also act as a regular external/portable hard drive for data other than MP3's too. The RioRiot is another choice for a hard drive unit. It's got a nice LCD screen, but no remote control like the Ipod.
If you go solid-state, I like Rio's line. I think the only difference among those is the size of integrated memory and the type of removable media.
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