One of the things I look for anymore in new gadgets is the ability to use it for more than one purpose, particularly when traveling (although I don't get to travel too often). Obviously, the Zune is a music and video player, but if I could browse a book when I need a break from video (but need to do something more than just listening to music), then that would be great.
Also, I think Microsoft should figure out a way to export your Outlook calendar and contacts for viewing (although not necessarily for editing) on the Zune -- for those occasions when you might want to look up an address or number, or check to see if you're available on a future date.
The last big trip I took, my Pocket PC was my main device: I had tunes and video, I had all my travel information, I had games, I had books. I took other toys with me (my iRiver player for more tunes, my PSP for bigger video and better gaming), but when I was waiting in the airport and flying through the skies, my Pocket PC did it all for me. Perhaps the Zune could take a step in that direction?
Just my $0.02.