Where do you keep your music stored? in the main memory or a memory card? if it is a microdrive, you may have to do as Jmtyra
has suggested. or possibly if you installed anything recently, the app may be interfereing with WMP (but that's just a maybe). Do you try and play it while synced to your PC? that's another possibility.
It could be how much main memory you have left (storage vs program) You want to make sure you have enough free program memory to run properly. I'm trying to figure out what can cause the delay aside from other programs running.