PersonalTechPipeline talks about the Music Gremlin, a player that connects via Wi-Fi to download music. Music Gremlin was announced on late 2005 and presented at CES 2006, but only started shipping yesterday. 

The storage capacity is good - 8GB. The subscription service with MusicGremlin costs $14.99 per month and gives you "unlimited" access to "on-demand" music. Each song has the usual price of 99 cents and there are radio features as well.