I just bought an eight gig iPod Nano a couple of weeks ago, I’m very happy with it and highly recommend it. I don’t really know anything about zunes (other than their commercials are amazing), but Apple has always been a trusted source for me.
I think Zune has that DRM crap with the music store, and you cannot copy over music that you have ripped from CD’s last I heard on slashdot. that was a few months ago though, they may have changed their policy.
Digital Rights Management, sometimes known as Digital Restrictions Management by angry techy people. It’s intended to stop you from downloading music illegally and often gets in the way of actual legal downloading.
I haven’t run into it on my Nano, and I will say that I know some people who keep large amounts of pirated music on them. The only DRM I’ve seen so far is through iTunes, but you don’t even need to use that in order to use your iPod. There’s a couple of Open Source alternatives if you look around.