<Caution, I'm a SonicBlue investor>
The Jukebox is an interesting device, but like a lot of the HD based MP3 players, it's has main 2 problems. First and foremost, the battery life is just hidious.

I've personally been hearing 2-5 hours per battery set, with the average time being under 3.5. At 4 batteries a pop, there aren't even rechargables that'll keep going for very long(they'll develop 'memory' quickly because of how often they're charged/discharged). The other main weakness is that they're huge in size and weight(these carry a 2.5in laptop HD, after all). It's not a problem for everyone, but the weight can really be an issue for some people.
If you want a HD based MP3 player, you might want to look into the Apple iPod. While it doesn't support Windows(yet; I've heard a 3rd party is going to do Windows software), it uses a smaller HD that is getting better battery life, although the cost is, of course, that it's 5GB, not 20GB. If that's still not your game, look for a good MP3 CD player. You lose even more playing time, but you can swap out the CD's to make up for the small CD size. I think there are some DataPlay MP3 players that are shipping now too, which use the smaller DataPlay removeable discs, which are 500MB, and are supposedly a little less draining than said MP3 CD player, since it can use a smaller motor. Either way, the choice is up to you, but for most people, the Jukebox is a little ahead of its time for what it does.
</Caution, I'm a SonicBlue investor>