I have 3 because I got my Nano about 1.75 years ago when it first came out and I just had a small 256mb player... I wanted a 4gb solid state player for the gym...
The Sansa I got because it has tons of features the Nano does not:
user replacable/removable battery with better battery life than the nano
FM Radio/Recorder
Voice Recorder
MicroSD card slot to expand up to 2gb more
8gb version (which the Nano has now as well, but didn't when I got mine)
better price
better screen & video playback
Creative Vision: M I got because I found it for $200 retail, I wanted a player with enough storage it would be hard to fill completely, and one that had a great screen for movie and video playback.
I'm using the Nano in the gym and will until the battery dies, which I have noticed the battery life's gotten significantly worse since I bought it. When it dies I'll just use the Sansa. I refuse to use a hard-drive based player for active/gym use, not to mention their size makes them more annoying in the gym.
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I was going to get that Sansa before I got the Creative, and sometimes I want to get a new nano, but I got the 4gb when it first came out and didn't like the battery life so I returned it. I think the shuffle will be perfect size-wise. The only thing I don't like about the Vision:M is that everything is made for the I Pod. Do you know of any speakers or car stereo port that will plug in to the serial port of the Vision and work? I know they make that cheap shit that plugs in to the headphone jack, but am not interested in that. Also found out the Vision doesn't use standard A/V cable and had to get the IMac cable...How gay is that?