The Zune HD is a better media player, for sure. Better DAC, so better sound quality, better screen, more features in the music and movie player, and Zune pass support. If you are comparing it to the ipod touch as a media player, just for media, it wins hands down.
As a pocket computer/Mobile Internet Device? Yeah, it fails at this point. The browser is slower, has no tabs, history, or bookmarks. Just a fail all around, but useful for emergency web access.
It all depends on what you are looking for! I am personally waiting till October 15th, as the iPod touch with camera is likely to come out on that date. If it does not, I will have to make a choice between Zune and Touch.