There are very few MP3 players, other than the Apple iPod and iPhone, that are compatible with the iTunes Store. The reason for this is that Apple use their own proprietary DRM protection system, called FairPlay, to protect the music tracks that are downloaded from their service. Apple so far, hasnt made their DRM system available to many hardware manufacturers and so compatibility is poor compared to other digital music services.
The only non-iPod players that can be used, in conjunction with the MAC OS X version of their jukebox software, is a small selection which can be found here.
For more information, read the iTunes Store review that gives you a full rundown of what the iTunes Store has to offer.

