I have owned my iPod Shuffle for about a week now, and I am finally learning to LOVE the little stick of gum. When I first purchased the item, however, I immediately uploaded an album I had downloaded from iTunes earlier in the day. Much to my surprise and frustration, the Shuffle simply wouldn't play -- I assumed that I had purchased a defective device! Fortunately for my emotional well-being, a little research into the Apple Discussion Boards revealed that I was far from the only person experiencing a problem with my Shuffle.
It seems that the Shuffle has some compatibility issues with the protected encoding on some (though not all) iTunes files -- OR, possibly, the encoding was somehow damaged (?) during my specific download. Once I REMOVED the downloaded album, and replaced it with several files I had physically ripped from CDs, the Shuffle worked perfectly. Ironic, isn't it, that Apple's cool new iPod is riddled with problems that are somehow CAUSED by music files downloaded from their own site?
Ask me if I'm upset -- my answer: not really. I simply burned the offending files onto a disc and re-ripped them back into iTunes the old-fashioned way.
Now the downloaded iTunes album plays on the Shuffle.