I use a sony net MD player and i absolutely love it. Basically you get the player, a USB cable and some software such as Open MG jukebox. Using the software you download songs onto minidiscs in mp3 format (i think) .
Its so sweet - you basically store all your mp3s on your computer and check them out onto a disc, which using a normal compression can fit about 140 minutes of music on. All the playlists etc can be sorted out on your PC, so the discs act basically as memory cards, which you can change whenever you want using the software. The plus point is that the players and discs are very very cheap, meaning you can buy shitloads.
Def go for MD