Microsoft dropped the ball on the feature consumers wanted most from a Wi-Fi MP3 player and SanDisk picked it up. At CES in Vegas SanDisk demonstrated its Wi-Fi enabled 4GB flash players called Sansa Connect. But unlike Zune, this Wi-Fi MP3 player didn’t forget to include over the air downloads.

It looks like the Sansa Connect will deliver a big advantage over any other Wi-Fi MP3 player including the Music Gremlin which can also perform over air Wi-Fi downloads. Sansa Connect will let you shop for music at a variety of (to be announced) online music stores using the PlaysForSure DRM and allow subscribers unlimited downloads. While capable of downloading music from your PlaysForSure music source it’ll also stream music while connected. The net effect of streaming while subscribed to your favorite music service is that you listen to unlimited music forever without ever touching the 4GB local storage. Using its streaming capability Sansa Connect can also stream music from your Internet radio.

No word yet on whether or not Sansa Connect will share via Wi-Fi (like Zune). But if you’re downloading music to Sansa Connect’s rather lean 4GB of internal storage you’ll be happy to note there is a microSD slot for expansion.