Windows Media Player is able to play back WMA files with embedded lyrics; I once went through the tedium of adding lyrics to a song so that they'd play back in sync. The technology is there to provide closed captioning capabilities for video files; I suspect QuickTime has something similar. I don't know of any portable devices that can play back the subtitles, although I suspect the Creative Portable Media Center might be able to do it. Even if it did, though, it's still not a great device to carry around just to listen to music.