How the audio world has evolved in recent years. Portable audio devices used to be expensive, but with larger flash drives and cheaper disk space MP3 Players are used just about everywhere no need to carry a few CDs instead carry hundreds or more of your favourite music which fits easily into your palm.
Portable Audio player market used to be dominated by the Apple IPod, Creative Zen Range but now there are a huge variety of colours, shapes and sizes. Most mobile phones now come with MP3 playback so you can always have you music, podcasts or audio books with you. Capacities typical range now (2008) from 1GB-16GB at present for Flash memory based, to 200GB for hard disk based products.
The average MP3 file is around 4MB, so it is easy to see the attraction of having your favourite tracks available or to store a whole catalogue of music and to create play lists of your favourite music or soundtracks.
Cheaper USB stick based systems start at £10+. Hard drive based cost £100+ with an average starting point of IPods at £130. Cheaper Flash and Hard Drive storage will mean prices will lower and capacities continue to increase as more people look to play not only MP3s.
Most mid to high-end products now allow you to play back video clips the formats can vary from Youtube avi,flv others also allow you to play downloaded films and movie trailers which you can download legally from the usual suspects.
It all depends what type of user are you, if you are a light user maybe just for using in the gym you may prefer to go for a cheaper model with less space whilst high end users should find the larger ones better so they always have a wider choice of tracks.
I would suggest most people should set a budget then see what capacity and extras such as video playback may be included. Most people seem to find their first MP3 player is too small or feature limiting so you may wish to consider a larger initial spend to save you in the long run. 2GB is plenty for most unless you wish to use it to carry documents/pdfs or to store and play video files.