Prefered Devices:
Instead of a iPod Nano, get this: Iriver Clix

http://reviews.cnet.com/mp3-players/iriver-clix-4gb-second/4505-6490_7-32327766.html?tag=prod.txt.2
or this: Cowon D2

Instead of a full size iPod, get this: MS Zune

http://reviews.cnet.com/Zune_30GB_black/4505-6490_7-32068976.html
Features to Look For:
While some of these items may contradict my personal preference device, these items may be of use to you for you own personal requirements:
Replaceable Battery: one getting juiced while the other living it up. Don't wake up with a dead device.
Expandable: I have one device that takes an sd card. I can have numerous sd cards filled with my daily preferences
Drag and Drop: Do I need iTunes or some other software to make it work? Some players appear as a hard drive on your machine and all you have to do is "drag n drop". When I get to Billy's house and want to share with him, I don't have to install iTunes on his machine.
Mini USB: This is now the most popular and readily available USB cord on the mkt. Often it's the same cord you use to for you digital camera, cell phone (razr), etc. Many players use proprietary cords. Am I supposed to carry that cord around everywhere? Work, Home, etc? What's it going to cost for another one of those proprietary cords?
Screen: Don't you want to know what you are listening to?
FM Radio: I get bored of my own music sometimes. How about something fresh? or news/sports?