Engadget's first attempt to install the Zune was so bumpy a ride that it hosed the computer. The second attempt (on a different machine) was a good deal more like the reviewer expected. See the post for details and lots of lovely screenshots. Also, for your viewing pleasure, they have a unboxing post and video. Go, go, Engadget!
The good news is that Gizmodo reports that the Zune PC software works well with iTunes.