I have a 512mb usb thumb stick shaped one I use in the kitchen while im cooking and a 40GB 1.8" hdd one that looks kinda like an original iPod (its older than the iPod) thats used for everything else.
My reason is simple, im not an idiot, I don't need itunes or sonys equivalent or etc to sort my music, in fact I detest the software, I like an MP3 player that I plug into any machine and it comes up as a hdd allowing me to drag and drop copy music to/from it and then allows me to browse the files by folder. I have no need to "sync" my music because Its only kept on the mp3 player, if I want to play it on pc/car/ps3 then the player is hooked up to that.