First of all I used the latest available data from the .net and .com Top Level Domains. Microsoft may have registered many more Zune domains than these, but may still not transfered to their system, so not visible to way I used to find these.

So here is the list sorted from the oldest registered domain to the newest:

NET domains: 

zune.net
comingzune.net
xnazune.net
zune-ppe.net
zune2-int.net
zunemarketplace.net
zuneartists.net
zune-artists.net
zunearts.net
zunesocial.net
zune-arts.net
cdwzuneload.net
ilikemyzune.net
zuneliveatthebbq.net
zuneoriginals.net
journeyzune.net
zunejourney.net
zunejourneys.net

COM domains:

thezune.com
zunemp3.com
freezune.com
zuneaccessories.com
zuneforum.com
zunegames.com
zunemovies.com
zunevideo.com
zunevideos.com
zunestore.com
zunetunes.com
comingzune.com
zunesleeve.com
zuneliv.com
xnazune.com
zunesubscription.com
subscribezunes.com
zunesdownload.com
zune-ppe.com
zune2-int.com
zunedownlaod.com
zunemasters.com
zunearts.com
zune-arts.com
cdwzuneload.com
ilikemyzune.com
zuneliveatthebbq.com
zuneoriginals.com
journeyzune.com
zunejourney.com
zunejourneys.com
microsoftzuneoriginals.com
orginalzune.com
originalzune.com
originalzunes.com
zuneeoriginal.com
zuneorginal.com
zuneorigina.com
zuneoriginalscommunity.com
zuneoriginalsforum.com
zuneoriginalswiki.com
zzuneoriginal.com
zunesoriginal.com
zunesoriginals.com
buyzuneoriginals.com
microsoftszuneoriginals.com
myzuneoriginals.com
myzunesoriginal.com
shopzuneoriginals.com
wwwzuneoriginal.com
wwwzuneoriginals.com
zuneoriginalshop.com
zuneoriginalsmarketplace.com
zuneoriginalsonline.com
zuneoriginalss.com
zuneoriginalsshop.com
zunesoriginalsaccessories.com
zunesoriginalshop.com

EDIT: ZuneSpeler noticed in a comment below that ZuneOriginals has been registered in many other TLDs including many European countries. In most case the name of the registrant is hiding, but some show clearly that they belong to Microsoft:

zuneoriginals.eu
zuneoriginals.nl
zuneoriginals.de
zuneoriginals.co.uk
zuneoriginals.es
zuneoriginals.it
zuneoriginals.fr
zuneoriginals.pl

zuneoriginals.org
zuneoriginals.info

Check the latest .com domains registered, they are all about Zune Originals! Zune team doesn't register multiple domain names for a project they start. Does this change means we should expect something big from Zune Originals or its just a  in different online Marketing attitude? All of them are currently inactive except to ZuneOriginals.net, ZuneLiveAtTheBBQ.net, cdwZuneLoad.com, ZuneMasters.com . Some others just forward visitors to these domains (especially Zune.net and Zune-Arts.net).

A site I hadn't see before is cdwZuneLoad.com . From what is says its an old (forgotten ?) project about marketing Podcasts in partnership with CDW Corporation . Maybe now that Zune supports them, Zune team will revive it. Tip: when you register, the only you can do is to download the available Podcasts from here:
https://www.cdwzuneload.com/show_listings.aspx

If I missed any other active sites from the above list, let me know.

Related articles:
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