I had purchased the P3 shortly before I purchased the HD. Here's what I can tell you about the two of them together:
1. Size: Identical. The size of both units is exactly the same as far as I can tell. The Zune's edges are a little more angular, but other than that, you can't tell much of a difference between them in size at all. If there is one, it's going to be millimeters.
2. Screen: Zune wins. Hands down. Of course, with the OLED screen, the Zune is kicking most players' asses right now. No problems there. Blacks are black on the zune. They're "off-black" on the P3.
3. Haptics: The P3, of course, has haptics, but the Zune doesn't. Personally, I found the haptics to be distracting on the P3 after a while. I guess I always associated it with the feeling of a hard drive grinding. Not a good feeling at all. I turned it off rather quickly.
4. Responsiveness: The Zune wins in this category. The UI is far more responsive than the Samsung. I felt like I had to do alot less work to get the Zune to work the way I wanted it to work. When scrolling through the P3 I had to do alot more work, mainly because, no matter how fast I moved my fingers from top to bottom on the P3, it would only move, at most, two screens. This was really aggravating. Didn't feel like it was picking up on my intentions there. The Zune also seemed more responsive to lighter tapping.
5. Display: (By display, I mean graphics and User Experience) Of course, the display is subjective. You've got all the widgets on the Samsung, but not on the Zune. Some people like that. I found them to be overwhelming, personally. I'm typically a minimalist and a purist. Customizations confuse me, because I don't know "how it's supposed to be". That being said, the scrolling screen on the P3 was a little odd to me. I felt there was a better way to do it, but I couldn't put my finger on it.
On the Zune side, the display, in my opinion, is far superior. The navigation was more intuitive, I felt like, and I also felt like I could get from point A to B more quickly.
Neither unit really gives you the ability to zoom in on album art, but the Samsung's album art was always pixellated. This could have been due to the fact that the majority of the songs on the P3 were downloaded from Rhapsody. That being said, the screensaver option on the Zune is incredibly beautiful, and I still appreciate staring at it from time to time. When I can see the album art close up, it looks fine and non-pixellated.
6. Subscription/Music Service integration - This is where I had real problems with the P3. I used Rhapsody, and the P3 crashed and had to be completely reformatted twice during the two weeks I owned it. Very disappointing. While I personally appreciated the selections from Rhapsody better than from Zune, (I listen to a fair amount of indie music), it didn't matter to me, mainly because I had to seemingly pray the P3 wouldn't die on me. The Zune with Zune Marketplace has worked from day one. Zune Marketplace isn't the most performant program, but a couple of tweaks (reducing the display quality) and it works wonderfully even on my netbook.
7. Sound - This is probably the most important part to anyone coming from a P2. Let me preface this by giving you a bit of context regarding what I listen to. I typically focus on acoustic indie rock with some triple-A pop, with the occasional electronica (big beat and ambient mostly) thrown in. I'm not a radio-pop or hip-hop listener at all.
That being said, the P3 has the advantage over the Zune in one area: sound customization. DNSe allows the user to customize the sound however he/she desires. This is a pretty compelling feature, and the P3 sounds _great_! That's important, considering it's a music device primarily. I especially enjoyed listening to the Cafe setting on DNSe (at least I think that's what it was). It made me feel like I was listening to someone live.
However, the Zune sound has improved greatly since the second generation Zunes, most likely due to the addition of the Tegra chip. Personally, I liked the sound of the Zune better than any customized sound I could get out of the P3. The Zune HD does have an EQ with a few settings: Acoustic, Classical, Electronic, Hip-Hop, Jazz, Pop, Rock, and of course, None. I tend to stick with None most of the time, as that seems to offer the fullest sound of all of them.
Verdict: I actually liked the Zune sound better. It seemed more even across the whole spectrum and was just as clear as the Samsung.
8. Included headphones: Both the Zune and the P3 come with standard sucky earbuds. In fact, the Zune's headphones are worse than they were with the second generation. The second generation Zune came with a not-too-shabby pair of IEMs, but they've relegated that to the "Premium Zune Headphones" area now. Get yourself a pair of IEMs or a nice over the ear headset.
9. Gapless playback: I couldn't get gapless to work on the P3, even after the update that was supposedly designed to provide just that. It could have been the WMA format from Rhapsody, but it was certainly annoying. I got a typical 2 second gap between songs on the P3, which was a bit annoying. And no, the HD does _not_ have gapless playback either, but the gap is significantly smaller and, in my opinion, acceptable for a non-gapless player.
10. Overall experience: After 3 or 4 days with both units, I settled on the Zune HD. Personally, pitting the HD against the P3 made the P3 look somewhat amateurish in my opinion, and I'm typically a huge Samsung fan. The Zune seems more solid, better looking, needed fewer restarts, more responsive, and the sound wasn't sacrificed at all.
For my money, I'd take the Zune and leave the Samsung on the shelf.