my Palm Tungsten T2 has one built-in but honestly, I've never used it.
Convenience is a plus, ppl tend to be lazy in the sense they usually try to avoid repetition, .mp3 and other such devices allow so much more flexibilty in regards to storage resources.
First off, I don't multitask very well (I leave that to wives and/or computers) so I don't use it in my line of work because I require alot of concentration. I believe MP3 players are awesome but need to be used with alot more etiquette than I have seen in the past (young ppl).
For me, my Tungsten can do MP3 but I just can't seem to find the time, I don't have alot of downtime, like commuting and etc. When I do have the time, I prefer to sit back on my couch listening to my Cd player/Stereo System with a nice cold beer in hand...
Ummm....Beer...darn, I'm at work!