My man Max at Channel8 recently got his hands on some Zune4/8 cases courtesy of Drew, the Zune 3rd Party Accessories Product Manager. He tested cases from Incipio, Belkin and Agent 18, listing their respective pros and cons and posting a ton of pictures of each. If you're in the market for a case for your Zune4 or 8, definitely check out the article.
If you've got a Zune30 or 80, keep an eye on this space. I've got a review coming up for a few cases that are of good quality yet still easy on the wallet.