The Zune is a nice MP3 player, don't let anyone tell you otherwise - it's very capable and in many ways more so, than the iPod. As dtravis said, it's just not Mac-compatible, which is a shame.
Also, don't discount the 3rd party ecosystem that has grown up around the iPod. One of the major selling points for the iPod for me is just that - I can easily get an adapter that integrates it into my car without having to use a fussy tape adapter or FM modulator (which both suck for sound quality). There are few such adapters for the Zune and they only work with a handful of cars.
With full iPod integration, I never have to carry around CDs or worry about them getting damaged. My iPod integration ties into the factory stereo and lets me control the iPod through the radio's controls and also see the track name and other information right on the factory text display. And when you put it on shuffle, it's like having your own personal radio station with only music that you like