There's a few basic types of MP3 players, and pretty much two MAIN types
Hard Drive Players:
Pros = They can store the an enormous amount of songs (10GB to 60 GB worth), and tend to have larger screens which makes them easier to use. You don't need to memorize a bunch of buttons, the interface is pretty much straightforward.
Cons = These players are big, big, big...so they aren't ideal for physical activity such as jogging and going to the gym.
Flash Based Players
Pros= They are tiny, and weigh next to nothing. Their batteries also last longer, and don't necesarily have to be re-charged (they can simply be taken out and replaced.)
Cons= Not as much space as your HD's players, as most have 256MB-2GB of storage as opposed to the 10-60GB storage in HD players.
As a side note, I'd pass on the Dell DJ and go for either an iRiver or an iPod...if you wanna get one around 5GB, go for the Zen Micro. Check out the online reviews, I think they'll "coroborate" with that opinion.