Buddy of mine has a Zen, and its not a bad media player at all. I haven't watched any vids on it, but i know he does, quite a bit. Also, the sdhc support is nice, but it doesn't integrate all the music into one selection. If you select "Music" from the menu, it takes you to a nicely setup menu of the music on the BUILT-IN DRIVE where you can see the album art and whatnot while you select. To access your external card, it pull up a similar menu, but with generic folder icons. It still plays the same way, but you have to select the folder with the album you wish to play. And, i don't know if there's a way to shuffle ALL the music together (both built-in and external). From what i've seen, it doesn't look like its possible.
On the other side, i LOVED my Zune (before i cracked the screen *cry*). BUT, it was the G1 30-gig model... so i know nothing about the Zune Minis (or Flash Zune, or whatever they're called. ZuNano?). But with that said, i really liked the Zune software, and the Zen software looks a little limited.
So... out of those two... I honestly don't know what to tell you