I was given a Zune. It was well made and easy to navigate, much better than the Archos I bought before I bought my iPod. If the Zune had been released before the iPod, it would have been an impressive piece of hardware. A great product! However it wasn't. I tried really hard to enjoy my Zune. It felt like a waste just to throw it away.
The problem was that it was almost as good as my iPod. Releasing a product that is almost as good as a product that came out 3 years earlier doesn't work. If you are going to release 3 years late, you have to be better. I agree with the above comment, Microsoft will fail it tries to beat apple where it is strong. Microsoft either needs to find a "Steve Jobs" who can drastically change its company culture or stop tying to compete with apple on consumer products.
Note: I am being generous when I say it was almost as good. It had downsides. In particular the companion software to load up music was a bad experience.
My guess is that when people say they loved their Zune, its because they wanted to love it. If you gave the same person an iPod (and they were being impartial) my guess is they would choose the iPod.
However, I don't think its likely these Zune owners were impartial. It would not be a big surprise if most people who bought and defend the Zune are Microsoft Zealots that want to find reasons to prove Microsoft is great and Apple is bad.