Yes, iPods are best! And I've tried a few different ones!
I started out with a Sony Mini disc player. It has nice enough features, but the size is a bit big in comparison. Then I got a credit card deal where I got a free iPod shuffle for signing up. It's much smaller and more convenient to use. My hubby uses Yahoo Music service, so I got him a little Sansa player that is compatible with that. I borrow his player sometimes because I can download all the songs I want off of Yahoo onto it.
Of all three types of players, I love the iPod the best. It's a nice size, easy to load music onto, and there's not long pause as you skip to another song (as there is with the Sansa). The only downside is the lack of a subscription music service like Yahoo that would work with iPod. On the bright side, not only does iPod now sell tracks (at a higher rate) that will work with any music player, but Amazon also sells tracks that will work with any player (included iPods) for less than iTunes charges! This has been my biggest complaint as I switched between using three music players, was that songs bought on Sony only worked on Sony, songs from iTunes only worked on iPods, etc. Fyi, you can get around that problem if you already have tracks that are protected by burning them onto a CD, then ripping them back off of the CD onto your computer -- the rips work with an MP3 player!
All that said, lots of music players out there are pretty good, and if cost is an issue, there are lots of MP3 players out there for about $20 that hold 256 mb. They may not be quite as sleek as the iPod, but they do the trick!