Searching around we found the way Microsoft used to select a name for their new born Media Player. At the beginning they called it Argo, the name of the ship which in Greek mythology Argonauts used when they sailed for the Golden Fleece. What about Zune ? Read more...

Argo 

Jason (J. Allard) and the Argonauts (aka Zune team) sailed from Iolcus in Thessaly, Greece (aka Seattle, Washington, USA) to retrieve the Golden Fleece (music market). Argo was built by Argus (aka Xbox team) and took its name from him. (this doesn't fit, but Ballmer said there were ideas to name it Xbox-something!). In any case the Golden Fleece was not alone. A mighty Dragon (iPod) was guarding it somewhere in the Black Sea (aka Internet). But Argonauts had protection from the almighty goddess Hera (aka Microsoft). 

Zune

Enough with mythology. When it came to the real name of the product, Microsoft went to the experts. David Placek is the founder and CEO of lexicon who tried to come out with a new name, different than iPod, and help Microsoft build a product with a distinct personality. 60 Ph.D. linguists in 39 countries in the lexicon's network, found a small name that would remind "tune", got a Z for music and did it! Too many people for such a small word dont you agree ? Thats the way it is if you plan to go worldwide.

See also:

What happened to them: Wikipedia article

Zune's name: David Placek's interview

The myth goes on: Zune in Greek