Good that you asked. Here's the deal...if you connect to another computer and your content isn't on that machine...it'll wipe your Zune clean. You can put Zune on all the computers but only have one computer as your 'home' PC. Have the others as guest machines. Then you won't lose your music.
However anything you add on those machines will be lsot when you go back to your home computer.
HMMM...anyone else seeing where this setup isn't so hot? I actually have been bitten by this myself.