I bought one the other night, and promptly returned it. The sound was too shrill for me, it started hurting my ears. Of course since there's NO FRICKIN' EQ I couldn't fix that problem. And yes, since it's a hardware issue they say it can't be fixed by a firmware upgrade.
There's another reason I got rid of it -- you can't just hook it up and drag 'n drop files to it. They absolutely FORCE you to use the Zune software. I had problems with the software not syncing properly, and later I tried the USB drive hack which only partially worked (read files, couldn't write anything).
All that being said I think the Zune has great potential, but came up a bit short on some big issues in my opinion. They say the EQ was left out because of power concerns -- so simply make it an option to turn it off to conserve power. Also, not making it work like a USB drive really sucks and would have been super simple for them to do. I suspect they intentionally left this feature out to make it harder to pirate music. Yes, it makes it harder, and quite annoying, but it doesn't stop it. I'm really fed up with all this DRM crap, the only people it hurts are the legitimate customers. Crazy..