Most of us are using iTunes to download music these days. They have a huge library of music and a user-friendly environment in which to purchase them. The downside upside of this is that you are confined to an iPod of some variety, including two Motorola phones with iTunes built in.
This is not the end all, be all of MP3 downloading, in fact, Apple is not selling you MP3's. They are selling DRM'd (digital rights management) M4P files, which uses apples "lossless" encoding process. You cannot port your iTunes to a non-iPod device. There is no convenient way to convert your iTunes to standard MP3 files. The only way to do it is to burn a regular audio CD from iTunes with your new music on it – then import that CD back into iTunes by way of MP3 encoding. It's tragic and silly, but there is currently no way around that.
There is of course, AllofMP3.com. A Russian website, with it's own music browsing software (aptly named, AllTunes) selling music for far, far less than $0.99. The upside is that you get an actual MP3 file and are not limited to iPod's.
There are a LOT of great MP3 players with video and everything for far less than you'd pay for your iSnob. In Apple's defense however, the reviews all say iPod's have extremely good sound quality. I would have to agree.
Check out MP3.com for reviews on all the latest players.