I've owned a Roku Labs "Soundbridge Radio" since Christmas and have never turned it off since. It nows has a built-in database of over 2000 Internet radio stations, 18 presets, AM & FM. It has a huge database for owners of over 7000 stations and the radio sounds great.
Look for, I hope soon...the Torrian Wireless "InFusion" handheld Wi-Fi Internet Radio that can pick up over 10,000 stations. It was set to debut soon, but has yet to be released in the US, but is for sale in Australia.
I got my hands on a SanDisk Connect at Circuit City two weeks ago. Nice unit, but is limited to only Yahoo Internet Radio. Didn't by it.