Both the iPod Touch and the Zune HD are fine devices. It comes down to what you want out of your device and which one you prefer. I prefer the iPod Touch when it comes to nearly everything, but instead of saying "GET THE IPOD TOUCH!!!!" I'm going to give you some facts and then recommend that you try the devices yourself.
Keep in mind, I haven't used a Zune HD in a while, and I use my iPod Touch daily.
Advantages of the iPod Touch40 hour battery for audio claimed-- 7 more than Zune HD
The iPod Touch actually has external volume controls, on both the device and the earbuds.
Bluetooth headphone support.
The touch's interface is a bit more consistent, straight forward, easy to understand and functional. It's not going to wow your friends, but it works great.
The iPod has iTunes for purchasing assloads of music, downloading podcasts, and accessing other media.
iPod Touch has the MASSIVE market dominating app store for access to more applications and games than you'll ever need.
The iPod Touch actually has an email application, among other apps.
MUCH faster web browser. (Mobile IE *snicker*)
Renders web pages faster when scrolling and zooming.
Larger display with MUCH higher, jaw dropping resolution. (iPod: 640 × 960 px (326 ppi) 3.5 in - Zune: 272 x 480 px (167 ppi) 3.3 in -
COMPARISON:
iPod Touch -
Zune HDThin (iPod: 0.28 in - Zune: 0.4 in)
You can actually have multiple pages/tabs open in the web browser. Not sure if Microsoft ever added them, but I can't find anything on the Zune HD's browser ever getting them.
Every time you leave the web browser in Zune then come back to it, it has to reload the page you were on. The iPod Touch keeps the web page in memory.
Applications open and close much faster on the iPod Touch.
Wider (in portrait) display, which makes a HUGE difference when browsing the web or using applications. You can notice this most when zooming into parts of web pages, as text is larger and more readable due to the space it has.
Multi-tasking.
Front facing camera for recording and video chat
Rear facing camera for 720p video recording and video chat
You can even edit the video you record on it then upload
Screen orientation lock
Advantages of the Zune8.5 hours of video claimed-- 1.5 more than iPod Touch
OLED Screen.
I think it has a bit better audio quality.
HD output for watching 720p movies on your TV.
MS offers a deal where you can download an unlimited amount of songs for $15 a month and keep 10 at the end of the month.
FM/HD Radio.
Pin your favorite songs/artists/albums/playlists to the main menu