I tell you this: the only reason why im looking for a new mp3 player in the market is because I lost my ZuneHD during my flight Germany - Colombia. I'm still very much regretting that.
The ZuneHD is a quite good sounding player, the UI is the slickest you will get, the Artist Biography feature, automatic download of Artist Art during sync and ease of use are just a couple of the nice things about it. On the other sidde the game/app library sucks, the browser is a joke and the battery life is only good if you make no use of the apps, otherwise it will be drained quite quickly. It has no custom EQ function, it wont drive your high impedance headphones and you will have to stick to the propietary cable and software, which was no problem because I quite fancied it.
At this point i must say that the ZuneHD was the best portable player i've ever had: the other ones were a Creative Zen xFi and an Archos, and that I'm only entering this amazing world of Hi-Fi equipment.
With such options on the market as the FiiO X3 and iBasso DX50, I won't spend that amount of money again on the same ZuneHD before testing the newer players available. I just purchased (three minutes ago) the FiiO X3 on Amazon.com for USD$199, that including coaxial cable and 64GB microSD, which was a pretty impresive price if you ask me. I'll play with it and decide wether to keep it or sell it after comparing it to the iBasso DX50. If none of them really satisfy me I shall go back to ZuneHD, test the new Sony Players or any of the Cowons, but that is a decision Ill take later. Ill let you know what happens.
My advice? Ask yourself if you really want that fancy UI, that touchscreen and well, if you have nothing else on the wishlist. otherwise, consider any of the newer, better-sounding (on the paper) units available.