I tried the M-Audio unit and couldn't get it to work. The installation instructions are very vague and didn't get any help from M-Audio, so I returned it. I found the Lightsnake USB cable at GC and it works fine, because their instructions explain the necessary record and playback setting in Windows, where M-Audio doesn't.
It's too bad really because the M-Audio came with some nice looking software that only works when the M-Audio device is plugged in.
The lightsnake unit was a lot cheaper ($40ish) and works fine with the free Audacity software.
SoundTech Professional Audio Systems - Products > Home Recording > Lightsnake USB Instrument Cable (STUSBG10)