Is there possibly a way that I can convert an iTunes song to a file that I can play on another MP3 player?

I really can't afford to buy an iPod Nano now and I want to buy a less expensive MP3 player. However, I am an iTunes subscriber and most MP3 players don't play their tracks. I want to convert their tracks to another format that most MP3 players can play (mostly MP3 or WMA). How can I do this? Is it even possible?