One problem with hard disk based MP3 players is gaps. You know those CDs where the music is continuous, even across the boundaries between tracks? When you play back an MP3 album in track order on an MP3 player, there are short pauses between each track.
At first I thought it was the player I happened to be using (the 60GB Creative Nomad Jukebox Zen Xtra), but then I closely examined the MP3 files themselves. It seems that all of the MP3 encoders I use add a little silence at each end of each track. The worst case I’ve found so far is 0.057 seconds at the start, and 0.127 seconds at the end, producing a brief but noticable gap nearly two tenths of a second in length. Another encoder only added 0.027 seconds at each end. Still a pain.
Maybe that’s a reason to use some other competing format, such as WMA.
Update (26 February 2010): Of course, as I was unaware at the time, MP3 uses fixed-length frames to hold the data. So unless the data just happens to coincide with the frame length, you get gaps. Gapless playback is a bodgy after-the-fact correction for this inherent problem.