I have a Zune and a iaudio X5L... the X5L sounds better and has better battery life than the zune, lasts 35 hours or so compared the 12-15 you get from the zune... and it has way more options than the zune does, like USB host for cameras and such and you can record from FM radio or an input... but the zune has a nicer screen to it... You can get a monster cable for the aux input for less than 20 bucks on ebay, atleast you would put a good cable into the aux input.
just get a car docking system for the zune and then you can see what you are looking at, the screen is big enough for it