Picking an MP3 player is a very subjective experience. What one person likes about a product might turn you off immediately, so it's hard to offer advice.
What I'll do here is point out a specific manufacturer that I like, and then explain the technical merits of their products:
Cowon America.
I've personally used the Cowon D2 player for several years. When you plug it into your computer, it acts like a regular USB device, so you just move files into place. It supports a wide range of audio AND video formats, including lossless formats (FLAC) and divx containers. It also has an FM radio that's good enough to receive radio station broadcasts while in an airplane! The D2 supports normal-sized SDHC cards out of the box, too, which means that my 4 GB player was upgraded to a 20 GB (4+16) player in about 2 minutes.

With an integrated lithium ion battery, the D2 gets something like 50+ hours of continuous audio playback (as long as you don't have the volume maxed out). And it'll recharge off of the USB port, thus if you're like me with a blackberry or similar phone device, you can travel with just one power cord (or none, as long as you don't mind running your computer to charge your appliances).
I ALSO had an iAudio 7 available to me for a little while, but that left in the break-up. But, while I did have access to it, it was a sweet little music player, with a very interesting interface. Same tech specs for playback, same awesome battery life.
Make sure to check out Cowon's website above; they have cute little videos posted on how each of their products work; sort of a video unboxing!
You can order these directly from
jetmall (Cowon's storefront), and you can also get the newer models on newegg.com or amazon.com.
edit: the entry-level iAudio 7 is $100 @ jetmall, the entry-level D2 is $110.