I have never used a zune HD so my opinion is irrevelant and not worth saying. But what I do want to say is that you are asking this on an itouch gaming forum. The opinion is likely to be biased.
Lol there's no comparison..the iTouch is superior. The Zune is clunky, awkward, its setup is horrible, too many buttons. Just overall fail.
The Zune HD is actually pretty nice but the itouch just completely obliterates it with its vast collections of apps. To compare, Zune owners are lucky to have 1 game come out in a day, we here are constantly swarmed with new releases. Case Closed.