My advice is if you’re going to use a music service, you should pick the service first and then get the player. This way, you will be sure to get a player that’s compatible with your service.

Here’s a good article that compares "subscription" services (see link). These are the services that give you the "all you can eat" type of subscription where you can download all you want for a monthly fee. When you decide on a service, make sure you go to their list of "compatible devices", and then use that list to decide which one to buy. Make sure the device is compatible with the "subscription" format if you want to use it, because many devices only work with music that is "purchased" rather than "rented".
References :
http://www.techcrunch.com/2006/04/11/subscription-music-services-compared-part-2/