I purchased a Zune today for 3 main reasons. And to give a background on my purchases, I've owned a 1GB 1st gen Nano, and currently own a Zen Vision:M (which I'm selling if anyone is interested in looking at my sig ).
Anywho, I went with the Zune for a few different reasons. The first deals with getting away from the PlayForSure stuff. I subscribed to Napster and Urge at a couple of different points, and I just don't care for it. The way it works is buggy, and I actually longed for some proprietary software with a proprietary music store. I liked iTunes, and considered going back to the iPod, but read on. The second reason I bought the Zune is because their proprietary software offers the "all-you-can-eat" subscription, which I prefer to purchasing individual tracks. And yes, I'm perfectly aware that I won't have any of those songs when I'm done with the sub, and I'm fine with that. The third and final reason, which is a big one, is that I hate the touch/scroll wheels/pads. Can't stand them. Give me a tactile button to push to get where I need to go. I listen to my music mainly in my car, and it's hard to know that you've gotten to the listing you've wanted with the touch stuff. The Zune has none of this, and I like it.
Add to that the cool interface, decent looks, and the integration with everything else Microsoft (Vista, Xbox360, etc.), and I'm sold. Not to mention the likelihood of updates to the player in the future to add cool features.