I'm amazed that Apple overlooked this. Yes I know, it doesn't play 24-bit files, or flac files, but 4GB of space is still enough for me as a portable listening device, usually in noisy environments.
Gapless playback can't happen currently on the latest iPod Shuffle, software version 1.1. It talks, but it can't play a live album or DJ mix properly, as the artists intended?
If this bothers you as it does me, drop Apple a line at:
http://www.apple.com/feedback/ipodshuffle.htmland hopefully they can push a fix out in a firmware update.