As a few people have already noted, you can't really compare them.
One one hand, you've got a PMP that's really designed as a phone/video device, with a large touch-screen. It's slimline, small on storage space and expensive. It's more akin to a PDA than a PMP really.
On the other hand, you've got a PMP that's borrowed features from PDAs - WiFi, large screen, etc. It's not particularly slimline, but it's got much more storage space, and it's not as expensive.
Personally, my vote goes with the Zune. Here's why:
1) I already have a Smartphone running WM 6.1. I don't need that functionality in my MP3 player.
2) As a teacher, I use my MP3 player to carry around music I can use as teaching aids instead of hundreds of CD's. 8GB storage (even 32GB really) isn't enough.
3) Zune software is infinitely more appealing to me than iTunes. Have a read about the new software - it's much more visually appealing, and it's much easier to use. Add in features like Mixview which beats out Apple's Genius, nice integration with social aspects, and the Zune Pass, and iTunes is severely lacking in several areas. To be fair, iTunes has a better music and video selection, however.
4) No tactile control - Honestly, whose idea was it to make an MP3 player that is almost bereft of physical controls? Fair enough, have the touch screen as the main control, but let me control volume, play/pause/stop/next/previous with buttons on the side of the device. If you're driving, it becomes dangerous to change tracks, and if you've got it in your pocket, it becomes tedious.
You may say the Zune is a trendy p.o.s that isn't in the same league as Apple products - however I beg to differ. I have nothing against Apple products (I own several Macs in addition to PCs), and the iTouch/iPhone is a very nice piece of hardware. However, if you look at how far the Zune has come since v1.0, it's a very long way, and the support for the products has been great. V1.0 Zune 30s get exactly the same update as brand new Zune 120s, and they get all the same features. Since when do Apple provide such good support for their iPods? Charging for a bloody FW update?