If you buy a song you can burn it to CD, then like any other CD you can load it into Itunes then use with an Ipod. A convoluted process though admittedly.
Itunes is hardly the most open to letting you use other MP3 players though!
In the UK (presume its the same in the US) there is one subscription level that lets you download any music you want to your PC, and a higher level monthly charge that means you can download to your PC and to an MP3 player - the songs also play fine in Windows media player so you just need a 'plays for sure' compatible device - which is most of the mainstream brands (Samsung, Creative etc) except Sony and Ipods.
Obvious the incentive from Napster is that you have to keep paying your monthly charge so you keep the rights to play the songs on your PC / MP3 - if you cancel you'll lose that right. I guess you could look at it as a long term leasing deal for the songs. I work on the principle that its cheaper than 2 CDs a month which is probably what I used to buy anyway. Plus you can listen to stuff for a while than get rid if you go off it, or try it out without paying £10 for a CD.
As with any service its horses for courses!