2. I have no control over the look of the play button. Not that I'm artistically gifted enough to do much with it, but it'd be nice.
3. It's messier than it needs to be when you hit play because it rams a "tag this" link in there. I understand there's no reason for del.icio.us to provide this app if they're not getting something out of it, but it's ugly and probably just confusing to any non-nerd visitors I might have. Also it tends to make the page jump around when it expands and contracts.
4. It may create a bandwidth apocalypse. Streaming and direct linking and so on is scary business. I like that people can bookmark my songs and stream them off del.icio.us, but the bandwidth implications frighten me. But I guess we'll see what happens.
So while it's a pretty cool tool, I'd jump ship to a version I could host and customize a bit better in a hot second.