The Zune HD is one slick piece of hardware. If most of my media weren't held by Apple's deathgrip and I were in the market to buy a new media player, I would definitely go with the Zune HD.
If you're going to say 'LOL ZUNE HD DUZENT HAV APPS' then go shove it up your rear. The iPod touch has ceased to be a damn media player, now it's just a hodgepodge of multifunctionality that most parents buy for their kids because it's cheaper than an iPhone and cooler than a Nano and their kids use it to make fart sounds and look at ads.
Seriously, Zune HD? Classier, radio, same multi-touch, stylish case (nicer looking case in my opinion), and media that isn't locked down to a DRM format (I think).
And all those apps are the only edge that the iPhone (and by extension iPod touch) has on the Android Phone. The Android that I have, the only two things I don't like about it are a sluggish processor and a pretty meager selection of apps. The processor is just the phone, I could get a Motorola Droid and the processor would be fine, and the apps are just a matter of time. Google is soooo much looser about what makes it into their app store. I really think developers are just afraid of trying to break into a new market with such a 'solid' one at Appple.
The Droid phone is definitely the better OS and has more and better phones than the iPhone.