First off... I do not own a Zune or a ZuneHD and do not plan to purchase one in the near future, but I did hear quite a bit of good things about the Zune software, so I took a look...

Giving Credit Where Credit is Due

The Zune software is a free download from <a href="http://www.zune.net" target="_blank">Zune.net</a>.  I just had to download it.  I like it.  It is really nice and may become my media player on my Windows 7 machine (although, I will have iTunes also installed).   Microsoft has done a great job of giving it some major eye candy.   Just look at the "Welcome Screen"
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[caption id="" align="aligncenter" width="531" caption="The Welcome Screen"]<img class=" " title="Zune 4.0 Welcome" src="http://www.mmolenda.com/blogpix/Zune_001.jpg" alt="The Welcome Screen" width="531" height="364" />[/caption]
<p style="text-align: left;">Compare that with how iTunes "welcomes" you...</p>
<p style="text-align: left;">Wait... it doesn't.</p>
<p style="text-align: left;">But, there has to be more than a nice welcome screen.  The interface is very nice and very "media" like.   It has all of the proper categories: Music, Videos, Pictures, and Podcasts... (by contrast, iTunes does not have Pictures integrated... I am not sure that is necessary as part of a media player, but could be useful.)</p>

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[caption id="" align="aligncenter" width="531" caption="The main interface... nice."]<img class=" " title="The Interface" src="http://www.mmolenda.com/blogpix/Zune_002.jpg" alt="The main interface... nice." width="531" height="364" />[/caption]
<p style="text-align: left;">And once here, can drill down into an Artists, Genres, Albums, etc... (same as iTunes but nicer looking.)</p>

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[caption id="" align="aligncenter" width="531" caption="Down into the Artists"]<img class=" " title="Playing Dream Theater" src="http://www.mmolenda.com/blogpix/Zune_003.jpg" alt="Down into the Artists" width="531" height="364" />[/caption]
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<p style="text-align: left;">By Contrast, this is how you see iTunes to play the same Album.</p>

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[caption id="" align="aligncenter" width="548" caption="iTunes Gird View"]<img class=" " title="Grid View" src="http://www.mmolenda.com/blogpix/iTunes_001.jpg" alt="iTunes Gird View" width="548" height="424" />[/caption]
<p style="text-align: left;">And then drill down into the Artists</p>

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[caption id="" align="aligncenter" width="548" caption="Drilled down to Album"]<img class=" " title="Playing Dream Theater" src="http://www.mmolenda.com/blogpix/iTunes_002.jpg" alt="Drilled down to Album" width="548" height="424" />[/caption]

Both get the same job done and do it in their own way... but the Zune application is a much nicer looking application (out Apple Apple?).  However, to be fair... eye candy isn't everything.  Functionality means a lot and I find both of them very functional.  Also, the Zune software, predictably, is only available on Windows.  I would recommend it over Windows Media Player as I have never found that interface particularly easy to use...