look out for these
1. headphones coming with MP3 players are often not so good..so you may invest in a mid cost player and get a good headphone from either sennheiser or philips..
2. do not go beyond 2 gb (in some case do not exceed 4 gb) because you would not be needing more memory than this as you will be having only selected songs in your player.
3. try to get an mp3 player with good aesthetics and always try before you buy any.