So I made my choice.
I got a Black Zune 8GB rather than an iPod Nano.
There were a lot of factors in the decision (I probably spent way too many cycles thinking about this purchase!)
Initial impression out of the box is good. Nice packaging and the battery had enough charge to play while the software was installing and configuring.
It feels nice in the hand, though (like my Shadow which is bears a resemblance to) it does show fingerprints - the black gloss and the glass screen need some texture! Given the shiny nature I'd expected to find a cloth case in the box but it's pretty minimal - and the official case was brown!
Build quality seems pretty high on the unit. It feels quite solid, especially compared to the rather plastic nano. There's one seam (the small silver insert at the top) that's not quite flush but I don't think that'll be a problem.
I've had a lot of problems getting it to do a WiFi sync. I was impressed that it was able to connect to my protected network, but it's proven to be a little unreliable staying connected - I've yet to manage a sync unless it's cabled.
Sound quality is great. Even on the pretty nasty earbuds in comes with it's clear and crisp. Certainly better than the iPod I had before. The earbuds themselves are a let down - pretty cheap feel (though I like the magnetic attraction to reduce tangle.. though could be stronger). I hate having to wrestle those stupid foam covers onto them though.
I'm not sure I'm sold on the ZunePass. $15/mo for unlimited tunes sounds good, but I've not had much luck browsing round the selection yet. It'll be interesting to see how that market evolves over time. It would be nice if the device came with a months access out of the box as a taster.
I like the fact that the Social tracks what I listened to on the Zune as well as the desktop client but I hate the face I can't scrobble that data (rather anti-social!) and I'm really annoyed that we couldn't sort out my account nickname to move it from AU to US so I've had to create a new identity for Zune and Xbox (to which I have little or no emotional connection).
There's lots of little things I dislike about the desktop app and the device UI but a lot of that may be lack of familiarity. We'll see in a week. I'm hoping Microsoft continue to evolve (in a good way) and keep upgrading the firmware...
Now off to load up some music and videos and have a play!