After much deliberation and comparing with leading contendors, such as the iPod, iRiver and Creative equivalents, I went for the Sony as it seemed to win in almost every category. I haven't been disappointed.
The battery life is vastly superior to that of the iPod and better than all the competitors as far as I am aware (though you won't get the full 30 hours claimed unless using sony's own file format and with minimal use of the controls). The capacity is excellent for the small size of the unit and the sound quality is excellent.
On the down-side the Sony software, which you must use, is slightly awkward and you won't get full performace in terms of battery life and storage capacity unless you convert all your music into ATRAC2plus (sony's own file format). Unlike it's predecessor (the HD1), however, the HD3 will play mp3 files without conversion - just be prepared to not be able to store 13,000 songs and for the battery life to be reduced.
There is also a limiter on the volume, which means that the maximum volume is not as loud as some, myself included, would like it. This can be fixed quite easily, however, and details of how to do so are easily available on the net.
All in all, an excellent piece of kit and, in my opinion, the pros far outway the cons.
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Advantages: Great design, hi-quality sound (Better than iPod), easy to use, smaller than iPod, better software than iTunes. AMAZING battery life. Disadvantages: Menus on Walkman if you have a lot of albums to get through - are a little bit time consuming to navigate.