After having an iPhone, I'm a bit annoyed by the media player on Android for a couple of reasons, one relating to the shuffle feature. When listening to shuffled songs, I often want to hear more songs from a particular artist or from a particular album. On the iPhone, I could click on a single button on the "now playing" page and see the entire album. The same button on Android brings up a list of the shuffled songs that have been played so far. Very annoying.
To make things worse, on the Android "now playing" screen, the artist and album seem to be clickable but they do nothing. It should bring up all albums on your phone by that artist or all songs on the album that contains the current song, respectively. I should check the market to see if there is a decent media player available that is better than the stock Android player.