On looking for an MP3 player:
#1 - Memory / Hard drive capacity
When I had my 10gig iPod back in 2003, I never thought I would surpass more than 5gigs, but now I've got close to 40 gigs of music. I currently have 3 20gig mp3 players. Each one serves selected genres. So I say overestimate how much space you "think" you may need. Also, think about mp3/codec quality. I used to mess with 128kbs mp3s mainly because of limited hard drive space & because I had a 56k modem (and only downloaded tracks that were 128kbs and MAYBE 160kbs - a 192 & up file was only if I really wanted it). But all that's changed now, as I've started to actually care about good-quality music and hard drive space is getting cheaper everyday. With a high-speed internet connection now, I download the highest quality music (if there's a selection between low-quality & high-quality). You gotta beware though, because a lot of music on the internet is garbage quality re-encoded to a higher bitrate. So basically think about what you're gonna be using it for, do you expect to acquire a lot of music in the future to be able to listen to on your mp3 player, how often you'd listen to it, etc...
#2 - Usage
This fits in with how much capacity you need. For instance, if you're only gonna use it for working out, you'd probably only have music that you wanna work-out to. But if you're like me & you take it everywhere you go, you need something that can take all types of environments. A hard drive-based mp3 player is bad if you're gonna be constantly moving. However, I ignore this fact cause flash players just haven't reached the capacity I need yet; also, as long is you're careful, shouldn't matter too mushc. If you don't know the difference between a hard-drive & a flash-based player, it's like this: hard-drive=big,moving parts,failure-rate=high; flash=small,no moving parts,extremely low failure-rate.
#3 Type of music
I haven't encountered a (portable) digital audio player (DAP) (most people confuse MP3 player with DAP) that didn't play mp3s. But if you mess with other types of files, you need a DAP that can support those files. For example, WMA, Vorbis (ogg), FLAC, AAC, etc. The DAP I use supports mp3 (mpeg1-layer3), FLAC (lossless), WMA (windows media), ogg (vorbis), and wav. 90% of my music is ogg. I encode all my CDs to FLAC, create a duplicate conversion to ogg, burn the FLAC to a DVD, and delete the FLAC off my hard drive.
#4 Method of transfer
USB and Firewire are the usual means of transferring music to your DAP and vice versa. Firewire is on Macs/Apple by default, and USB is on PCs by default. So make sure you have the right hardware. My DAP (Rio Karma) uses USB & has an ethernet port. Then there's a Java client (which can run on ANY os/computer as long as they have the Java Runtime [or VM] installed) that transfers the music to the device over IP. This is method of transfer is common for the linux guys where an official linux client doesn't exist.
#5 Extra Features
You should look at 1-4 before you even consider extra features. Extra features can go along the lines of video/photo support, customizable EQs, recording features, extra outputs, UI, etc. First question is do you need all of that stuff. I think a lot of times we as consumers say while looking at advertisements, "You can do that???" but in the end, we won't even use that feature. That's why I don't care about recording/photo/video support on mine cause #1 I have a camera phone, and #2 all I'm looking to do with it is listen to music. So before you get big eyes over a feature, ask yourself, will I really use this? Or is it just a "get-it-to-make-me-look-cool kinda feature".
Just some things to think about.