To rank my experience between portable music playback devices:
iPhone > Zune > iPod
She swears by her Zune, and having used both it and the iPod, the Zune is far and away a better device on every front. Having said that, the iPhone's interface is just that much better - and has the benefit of in-depth integration with third party devices.
When I'm listening to music on my computer though, I actually came to use the Zune desktop software. I have a rather silly process of downloading music, tagging it with MP3tag, dropping it into iTunes (to sync to the iPhone, & to organize the files into folders based on artist & album), and Zune Desktop picks up on the changes to my Music folder and catalogs them automatically.
Zune Desktop blows away iTunes for music playback. iTunes is perhaps a better music/app/video store, but the interface sucks, it's laggy. It looks out of place because it's using dated Mac aesthetics in a Windows environment. For a company that prides itself on style, it sure screws that pooch in the software department.