Long covered the topic quite well:
I think MS's reasons not to release the Zune worldwide are quite lame, frankly. Most people want a Zune because it looks nice, because you've got those Zune Originals, etc. Missing a Zune Marketplace is not always an issue.
The sad thing is that I'm pretty sure the zunetag I want has been taken by somebody else by now. I could have got mine from the start. Also, I moved from Europe to Canada and my Gamertag (on the Xbox360) is still anchored to Europe (according to techsupport, it's locked forever to the country you created it in), so I won't even be able to enjoy a seamless Xbox360/Zune experience, and instead will have to create a separate gamertag/zunetag.
And we thought globalization was upon us... MS really screwed on this.