There are loads of these media boxes around so it can be hard to chose, but I personally went with the WD TV Live - Mainly because I know quite a few people who have one, or at least the models down, the WD TV and WD Mini.
First the alternatives, which there are quite a few -
Acer Revo - a mini desktop using XMBC media streaming network software.
Main reason I went with the WD, it was a cheap option at $120 did nearly everything I wanted from it and was easy to use as well as being nice and small.
So out of the box, you've got the player which is about the size of an external hard drive, a tiny remote and the audio/video cables and composite cables, you have to get your own HDMI cables.
The player has two USB slots so you can use a thumb drive or plug in a wireless adapter to get it online, but the list of adapters that are certified to work is fairly small, you can see the list here. You also have the option of plugging in a network cable.
There is no hard drive in this, unlike other players, but using a thumb drive to get media on the thing is pretty good for tele shows or movies, but if you wanted to get the most out of this, you should get it hooked up to your network where it can play music and movie files from a shared drive on the network or media shared device.
Once you've got a USB wireless adapter that works for the device, getting it set up is a breeze, plug it in and go to settings to select wireless and automatic settings and then you plug in any network passwords and it hooks straight up. You also can store user name/passwords for any shared drives if you want which is quite nice.
So far, it has played all kinds of media files I have thrown at it, streamed them really well and upscaled non HD content wonderfully. It also remembers where in a file you were if you have to stop the show and go to another show for example. Fast forwarding files also seems to work really smoothly, as does the ability to read subtitle files.
Product support is great too, with regular firmware updates to sort out any issues, which are really easy to install. For the more adventurous out there, they also provide beta firmwares here.
Online features, Youtube, Pandora, Live365 radio, Flickr. Really easy to use and they all work really well with the device.
With all the love and I'd highly recommend this device to anyone, there are a few cons and I'll go over them.
The remote, you can't use the player without the remote and it is a small remote, make sure you don't lose it, and for anyone with a large media catalogue, it would have been nice to have a rocker switch to quickly scroll through your library.
USB slots, only two of them, the one at the back, which you'd probably use for the wireless, it is right next to the HDMI slot, so unless you've got a narrow adapter, you'll have to use and extension or there won't be room for it. The other USB slot on the side is slightly recessed and isn't lit up at all so can be difficult to find if you've got your player in your TV cabinet, but that is a small gripe. There really needs to be a third USB slot though because you can use a keyboard, but there isn't room to plug one in, and you'll see how useful a keyboard is if you use the online features like YouTube, Panadora etc. Still don't know why they couldn't have built wireless into the device as it would reduce there need to support other adapters but oh well.
The online features, it is missing Hulu and other services such as Netflix, which apparently can work if you have a media server set up and stream the content from your desktop and there are also hacked firmware files out there that do add extra services. Would have been nice to be able to put in proxy/VPN details so you could use a BBC iPlayer service etc. Also the player can't play DRM protected content from say iTunes
Audio, it's stereo output, automatically downscales it for you, but it would be nice not to if you've got an A/V receiver to put it through, less of a concern for me but it should be mentioned.
I'm still loving it, works a treat, simple to use and no messing around to get it up and running in minutes.