m3 flash player

[Bubu]

Hi,
I want to get my first mp3 flash player. Basically something
that I can take to the gym and which looks good. Considering

Ipod Nano
Sony MWe507
Samsung YT something or other

How do the downloads work ? I have alot of mp3 on my computer.
Will I hava any problem with the proprietary software of the
Sony or the Ipod ?

Is it worthwhile getting some fancy headphones for these ?

Other uses :
Can I use the Ipod to see pdf files ?
Are any of these useful to carry data files to other computers ? Say text files or pdf's ?

Thanks !