I have a sansa clip which can pretty much play anything except m4a files. Sometimes podcasts or other files I download are in that format, and there's no option to just convert m4a files without converting everything (flac, ogg, etc) to mp3.
It would be nice to choose just those formats which are incompatible to be converted when syncing, as many players usually have just one or two that they can't play (some ipods can't play flac, for example).