how much space are you looking?
Harddrive MP3 players:
Creative Zen works well or an Ipod. Take a look at the interfaces and see which works best for you. Also compare things like battery life and whether you want to use iTunes.
Non-HD MP3 Players:
Do you want one thats very basic or one thats expandable? You can get ones that accept various types of memory cards, or ones that simply come witha set amount of memory. I'd prefer the kind that accept memory cards, as fairly soon you will be able to buy them in up to 2GB of size. Or you can buy a 512/1GB now fairly inexpensively.