Which model? Do you take it with you everyday? What kind of music do you usually play with it when outside?
I have a flash-based player from Sony, 2GB of storage.
As shown, it's basically shaped like any USB stick. The thing I like most about this particular model is that you don't require any proprietary software to upload music to the device. You just plug in the thing into a USB port, wait for your OS to recognise the device, and simply drag and drop the files. This works very well, except for the fact that the transfer speed isn't too hot.
As for the sound quality, it's quite good. Certainly not as tinny and hollow-sounding as most portable media players I've heard.