You can see the album cover when you play your music and you can also change your background image (I keep mine as a mosaic of the Archangel Michael I took in Greece).
These can be done with iPod as well. See below.
For $14.95 a month you can connect to the Zune Marketplace where you have unlimited downloads on most music in the library.
Unlimited downloads of low sound quality. Wake me up when a company is offering WAV or FLAC.
One of the coolest features is the ability to share music wirelessly with other Zune players (that is why they say "Join the Social").
Of course, Microsoft has put a number of DRM features into the player, so your friends will only get to listen to the shared music a limited number of times, and at an even lower sound quality.
The player's firmware is upgradable so you don't have to buy a new player every 6 months to stay up to date.
The iPod and most decent players have upgradable firmware. The first thing many cognoscenti do with a new iPod is put RockBox on it, open-source firmware that supports more file formats and a better themability than the default.