One thing to keep in mind:

If you're playing a solo act, it can be really useful to take advantage of MIDI automation to change patches on synths, parameters on effects, chords on vocal harmonizers etc. Doing so can expand what you are able to do with one person without being distracted by stepping on stomp boxes at all the right times, changing volume levels, etc

And the easiest way to take advantage of MIDI automation would be to use a notebook computer running a sequencer such as RealBand. The sequencer can send all the MIDI data to control your external hardware (assuming it's all MIDI controllable). It takes a little longer to set up all the MIDI automation, but once you have it in place it's like having an invisible unpaid sound man handling all the details of your performance.

But, if you only want backing tracks to play along with, a small audio device like an MP3 player would be easier... that approach just provides less functionality. In the end, it depends on what you want to accomplish and on the gear you have to accomplish it with.