I'm not sure if you've figured out the "Remove Favorite" option, so just in case (or for anyone 'reading over our shoulder) here's how you do it:
- Go to your profile on Zune.net (http://social.zune.net/profile/home.aspx)
- Scroll down to your "My Favorites" section in the list on the right side of the screen.
- Click on the name of the song you wish to remove from your Favorites list (When you hover over the song name you'll see the underline appear so it looks like a hyperlink)
- Once clicked the entry will expand and you'll have three choices:
- Click on Remove
- That's it. Your song should now be removed from the "My Favorites" list.