Primary decision is how much storage and what kind of storage.
Hard Disk Storage vs Flash Storage
Hard Disk = more storage for same money + more lightly to break
Flash = less storage + much less lightly to break - usually smaller and lighter
How much storage
I have a 40GB and 20GB zen and spend a great deal of my time skipping tracks, then I have a 2GB flash player that just has good music in it.
I would be happy with the 2GB player and keep the rest on backup.