It very much depends on how you´re listening to music. If you´ve got only very few titles you ever want to listen to and you don´t change those often, a memory stick device might be okay.
If you´ve got a larger library and/or you want to change your portable music on a whim, a harddisk-based player is much better suited for you.
If the player can hold all your music, the computer interface doesn´t matter very much: You only need to transfer it once. USB might be enough in that case. (It can take hours
with many players to transfer a larger number of titles!)
If your player can´t hold all your music and you still want to change your music often, there´s no alternative to a harddisk-based player with a FireWire connection. It´s at least twice as fast as even an USB2
connection (even though the theoretical numbers wouldn´t indicate it).
You should also look at the music software that will serve the player. There are huge
differences in usability and reliability. In addition, if you want to buy music online, you´ll have to check which players will play protected music. Protected music from the iTunes music store, for instance, can only be played with iTunes and with the iPod.