I have one of the armband ones for my 8G Zune. I am a pasty white office type, i.e. not a power lifter. The band fits around my arm, but I don't have a lot to spare. So if you are pretty buff, I'd make sure you can try one on, or take it back if it doesn't fit.
I also find it a bit awkward, since MS chose to put the earphone jack, and of course, the sync/charge connector on the bottom of the unit. There is a hole at the bottom for the earphones, but you have to remove to recharge, which the headphone arrangement makes a bit more challenging. I'm considering putting mine in upside down. Really would have been nice if MS had included BT in these units.
Must say it is well built, though.