There are a couple of different techniques for "gapless" playback. Cross-fading is one of them, though it usually ends up in some overlap between songs. The other technique is to analyze the content of the MP3, and when the end-of-song silence is detected, jump to the next track immediately. There is a plugin for Winamp which does that pretty effectively, but in order to do it on a portable player, you'd need the manufacturer to update the firmware.
It's not the same thing as burning a CD with a two-second gap in between tracks. In that situation, you are adding the two seconds of "dead air," but if you chose not to include it, the tracks would flow seamlessly. The gap in question is an artifact of the PCM -> MP3 conversion...if memory serves, it has to do with the FFT window size, but my memory is a bit hazy at this second.