Depends on your budget and how many songs you want to carry around with you. a 512mb one will only store around 120 mp3s. It would be better to invest in a better solid state (doesn't have a platter hard drive), with more future-proofing, such as the 4GB or 6GB ones, like Apple's.
The market is led by Apple's iPod, now in its 4th-ish generation of 30GB and 60GB, but there are hardly any hard drive music players that don't suffer from problems. If you are caught for iPod, then I would recommend getting a 3 year warranty, as it normally breaks in some way, plus support for Windows is pretty bad. Apple are normally pretty happy to repair iPods in their warranty without hassle, but out of warranty it's more like �180.
Sony has the NWA3000, which is technologically superior, but the software is abysmal.
So the hard drive ones offer you to have all your CD collection on, but having a transportable hard disk poses problems, such as if you drop it, it may break it.
So for around �80-100 or so, 6GB is probably enough if you want a modest player. Think about this- you can get a 2GB memory card for a decent mobile phone with mp3 playback for �60, so that's another angle.