Sunburned Goose wrote the most descriptive article I've read till now about how does it fell to hold a Zune in your hands. Keep reading:

[...]I had expected the player to be fairly heavy, but after holding the Zune in my hand it was clear that I was wrong. It is not as light as the latest video iPod, but compared to my fourth-generation iPod, the Zune was lighter. The top of the Zune had a clear glass layer while the exterior had a tactile feel to it, nothing like the hard metal and plastic of the iPod devices. The ‘skin’ of the Zune was a ‘rubberized’ material that had a smooth seductive feel to it. I found myself unable to stop stroking the device, so much that the demo assistant asked me to put it down. [...]

User interface:
[...]The "home" screen had a user-configurable background for all the major sections of the device such as music, video, radio, community and settings. Click on any one of these major sections and the background zooms in a bit, giving you a feeling of probing deeper into the device. Within a section, categories are listed at the top of the device such as artists, songs, play lists and genres. [...]

Video Playback:
Video on the device was bright and fluid. I watched several music videos with no dropped frames or stutters. The radio interface is large and easy to tune and read. I didn’t look at the photo capabilities, myself, but looked over the shoulder of the guy next to me and the slideshow capability looked fluid.
Zune Software:
[...]An interesting feature of the new Zune software is the "Journal" tab that kept up with the songs you downloaded from other players as well as the music you played recently.[...] 

Overall:
All in all, any reservations I had about the device melted away after I had a few moments with the Zune. Yes, it is a first-generation product but I really like the direction Microsoft is taking with the Zune. Regardless of either the Zune or the iPod, the consumer will be the winner of this new front in the battle for our entertainment lifestyle. [....]

You see, the videos and photos are not enough to describe the feeling of the Zune. You can read the full article here.