My complaint is that the iPod is just too simple and plain. I mean, I like the minimalist style for home decor and electronics, but I think it goes too far. Sort of like a floating couch for a lving room. Plus if you have a really huge library, scrolling through it using the click wheel is tiring. The Zune lets you put photos and and up, I think that's cool. Plus the interface is just so much more interesting.
On the other hand, the iPod just allows you to focus on the content rather than the looks, in my opinion, which is cool for some people.
I'm not buying a Zune until they get a lot smaller and become Mac compatible, which is unlikely to ever happen.