The Zune will not share nicely with the "plays for sure" stuff. (Just like the next device will not share nicely with the Zune. Of course. Getting you to buy all your music twice, three times, four times is the game here.)
And now,
this guy points out how the "Zune marketplace" forces you to buy "Microsoft points" to buy music, as opposed to the plain old US currency that the iTunes store uses.
(But it's convenient for you, because you can also use your Microsoft points on Xbox Live, in case you fell for the idea of paying to connect to other people on the internet to play games with them.)