Depends...
...on what you'll be using it for, and where you'll be using it.
If you're into jogging, or want to wear it everywhere you go, I'd look into some of the built-in memory/memory card options which others have mentioned. I do a lot of traveling in my car, and I love my CD-based Sony Walkman D-CJ506CK.
Here's why: It cost about $100, plays CD-RW discs, and came with a car kit (cigarette lighter power plug & cassette adapter). I can burn 700MB to a disc, and easily carry 10 discs in the little case I bought for it. If someone swipes it or it gets broken I'm out about $110. In order to hold 7GB of mp3's in one of the built-in memory/memory card players, I'd have had to buy one of those $300 (and up) babies. It plays regular CD's too (obviously) which can be handy. Since I don't want to have dozens of $18 CD's in the car (in case it gets broken into) I have burned CDR's of my entire music collection. If I wanted to, I could carry my whole collection on about $20 worth of blank CD's.
One other nice feature is the nice backlit display, which shows you Track & Artist. It also resumes where you left off, so if you have to stop it for a while you don't have to scan through the entire disc to find the place you want to resume.
The biggest drawbacks are size (though it is small, even by CD player standards, it's still bigger than the built-in memory players) and the fact that if you're jogging it might skip.
Prof