So, I’ve had a zune (of some flavor) for several years now (3 or 4, i think), and I really, really like it. But, like most things, it’s a personal preference thing.
For personalization, and just looks in general, the Zune is just plain snazzy. It looks great, both physically and the screens (especially the HD, which I assume you’re looking into), and is just very, very stylish. And it helps that it looks, well, different. It’s not just not an IPod.
As far as audio quality, I’d be surprised if there was a huge difference, but I know that I’ve never had an issue, and my semi-audiophile friend is very happy with his Zune, when he wasn’t with an IPod, so I guess there’s that. Zune shines in other ways, though. Contrast is just plain fantastic, and so essentially everything will look better on it’s screen, be it videos or just album covers. It also has a nice feature where it shows a picture of the band in the background while playing music… just in general it has lots of nice touches like that.
And, peripherals are also great. The HD audio/visual dock is pricey (~$75), but will allow you to use the zune as an HD player on any HD-capable TV, and even comes with a remote! And the standard earbuds that come with the Zune are actually pretty great, far and away better then the crappy (IMO) ipod buds. They fit great, have nice sound (especially for included buds), come with several more pads of various colors, and even have a little magnet in them to keep them stuck together nicely when not using them (or just listening in one ear).
If you’re looking for apps, though, you really should go elsewhere, unfortunately. The Zune has, maybe 2 dozen? Let’s see… about 2 dozen games (all of which are pretty cool, but shrug) and a dozen other ones of various functionality, like a facebook app and a calculator. Nothing huge. So, yeah, that’s the Zune’s main fault if you want that. I, personally, don’t care. But you obviously do, so I’m sorry i can’t offer a more agreeable answer.
The wireless functionality is also quite neat, will let you sync as long as you’re connected to the same network as your computer, which is handy. The better functionality comes with a zune pass, though, if you want to buy it. You can download almost any music you care to search for (some you have to buy, but very few, and I’ve been able to find all but the smallest indie bands on the marketplace) for free, keep it until you cancel the subscription, use the music on up to two devices, and use the marketplace on up to three, all for $15 per month, as well as getting to buy 10 songs every month, which are DRM free. Pretty snazzy. The snazziest bit, though, is connecting with your zune and finding/downloading music straight to it.
So, yeah. The Zune is an excellent media player, really great in my opinion. But that’s all it does. If apps are a dealbreaker, then an IPod it is, unfortunately. But hopefully my ranting may have edged you to it. We’ll see. Good luck on the decision!