Cowon D2+. Doesn't have a speaker, but it has an SD slot. Drag and drop, and flac support included. Somewhat thick, but a very well known player in the audio world.
The zune is much better than most mp3 players. It's got a good sound quality (I doubt most people will hear it using shitty earphones they buy from local stores.), a very good build, and an interesting UI that's very easy to use. The price is the same as an Ipods, which is to be expected. They also give out free firmwares for any Zune users. Heck, They still support the first gen Zune. The downside of the zune, is that it's locked down to the zune program. You can't use anything else to store music or videos onto it. In a sense, it's even more locked down than an Ipod, as itunes isn't the only software you can use to put songs onto it.
Sansa Fuze is a really nice player, without many downsides. It's cheap, it's got a micro sdhc slot, and it sounds very clean. It's got drag and drop, and they They also give out firmwares. Could use a gapless though.
And buying music online? Buy CDs, and rip the music off of it for much better quality. Enjoy your shitty quality music while I enjoy my FLAC or V0 LAME.