The BBC has expanded its viewing options for the iplayer to include an expanded range of portable media players. As of right now the devices capable of playing TV content streamed or downloaded from the popular website are listed as PC, Mac & Linux computers, Apple iPhone & iPod Touch, Nokia N96, Creative Zen, Philips GoGear, Sony Walkman X Series, Nintendo Wii, NetGear EVA8000, Linksys DMA2200 and Virgin Media.
The iPlayer site points out that the PMP downloads have been tested on Sony Walkman E and S series, Archos 605 WIFI and Internet Media Tablet, Philips GoGear 52xx series, Samsung YP-P2 and YP-Q1 and Nokia N96. I've used my Creative Zen to watch "Stephen Fry In America" and as techradar points out, any device that supports Windows Media-protected content should work fine.
Of course devices without Wi-fi must download the content (That should be obvious) but assuming your connection is quick it wont take long at all.