Unless something has changed recently, the one snag to the Microsoft Zune is that it does not support Microsoft's very own "Plays for Sure" DRM standard.

The problem is therefore that it then does not support purchased, rented, or loaned audiobooks, movies, and music from sites like Overdrive, for one thing.
I know because I'm a tech at a public library which offers Overdrive download loans to our patrons and the Zune is right up there with the iPods in the list of "devices people expect to work that don't". At least with the iPods, people understand when it's pointed out that "Plays for Sure" is a Microsoft standard and Apple doesn't support it. They get a lot more confused and less understanding when they find out that a Microsoft product - the Zune - doesn't support a Microsoft standard.