[Ares]

While the K240s do work with the unamped zunes, the sound really opens up when it is amped. While unamped it is a bit veiled, amped the bass is more controlled and it appears to be more separated.

I have never heard these, but if you can find Audio Technica's M50, people have said that they are good for their price. However, I cannot comment past that.

 

[Carlsan]

Having a Zune, I do not think that they need an amp.

The Shure SE530 Sound Isolating Earphones for one works wonderfully with the Zune, I can keep the Zune at low volume levels and the sound comes through clearly and with great SQ.

As for portable headphones, I use the ATH-ESW-9 with the player, this is a great portable headphone that looks as good as it sounds. The ESW-9 sound is excellent going through the Zune.

The AD700 are nice but don't compare to the above in sound. Also the AD700 is not really a portable set of headphones. They are big, purple, and will really add to the headphone geek factor outside of the home.