I bought one. I have a couple of friends who bought one, as well. It wasn't for the Xbox functionality (that's actually one of the few letdowns of the whole thing, very few multiplayer Live titles). It was because we were all Zune owners.
Let me take you back to 2006. iPods were still using the classic click wheel. iTunes was horribly slow on a PC. Microsoft comes out with a competitor that has a simple up/down/left/right directional pad, and software that looks stunning and runs better on a PC. Many weren't sold on the idea. Many of those who were, however, loved it. Killer feature: the Zune Pass. All-you-can-eat from a huge library, fully integrated, syncs over wifi right to your player.
Time passes, and PMPs are a thing of the past. It's about phones now. You can either go back to using the iPod via the iPhone (and back to iTunes) and lose the Zune Pass, or to Android during its early, rough years. Still losing the Zune Pass, and having no centralized music manager. Then Microsoft comes along with a Zune phone, killer interface, Office, and Xbox Live to boot. I kept using my Zune right up to the point when I got a Windows Phone.
Microsoft is making some slam dunks recently, but the people and the press were, for a long time, unwilling to get burned again (understandably). Problem is, now the press has changed their tune but the people haven't. The Zune was a killer PMP, and now I can have it in phone form. For others, it's not so much that but the idea of not needing iTunes. That's major.
Now that I feel like a dirty shill, I'm going to go take a shower.