I purchased my Zune after taking possession of a Black Hornet (or has it possessed me?).
Before the Zune, I used a Nano 2G with line-out. The Nano didn't have enough capacity, so I had a choice to make. Thanks to the great folks at Head-fi, I decided to get the Zune based on the reported SQ. (I also got the Cardas 6" mini-mini cable to connect them.)
Originally I used the Zune/Hornet rig to drive Sennheiser HD650s with outstanding results.
After realizing that the HD650's were not conducive to quality listening while at a crowded/loud Starbucks (the hell with the strange looks), I purchased the e500s.
IMHO, the Zune headphone output by itself is outstanding: no hiss, no clipping, no stress or congestion that I can discern. Of course this applies to the e500s only.
While Hornet did improve the e500s (insert the usual cliche audiophile superlatives here), it was subtle and I could live without it. However, given the choice, I wouldn't want to.
BTW, I set the Zune volume to 20/20 when using the Hornet.
Edit: I think I would be quite happy if the Zune line output was the headphone output without attenuation. Would that be phony?