I believe if you check under ITunes, there is an option for burning info on ITunes to a mp3 disk. When you do so, they are now in mp3 (instead of ITunes) format and transferable to any mp3 player. I did this with some RTS ITune lectures of John Frame and it worked very well.
As far as cheap mp3 players go, if you are a music buff, an Ipod is probably going to be your best bet, as the sound quality is superior. I don't listen to much music, and I use mp3 players to listen to sermons, lectures, etc. In such a case, quality is pretty much irrelevant. I was in a Microtrends computer store a few months ago and found a 2 GB mp3 player (a knock off brand) that was the same size and design as an Ipod shuffle (even clips to your clothing). Unlike a shuffle, it also has an LED screen and lets you find selections. It cost me only $20.