They have 128 MB of onboard memory, which isn't a lot of space, but you can add an SD/mmc memory card to expand up to 1 GB of space. The additional memory card can be any brand but can run in the neighborhood of $100. To compare, the smaller iPod Mini has 4 GB of space and holds about 700 songs.
Disney sells "mix clips" of songs that you can add to the mix stick. They sell for about $15 at disneyshopping.com. This is certainly cheaper than buying the music for download at 99¢ per song and going thru the hassle of importing it to the mp3 player.
Personally, I like the look of the Mickey Icon Mix Stck. But given the limited amount of storage space, I think I'll stick with the iPod.