There are ways to get Zune if you dont live in US. Friends and family members who live in USA is one. Another one is if you travel there and buy it by yourself. Or if you find a small shop that can send it to you worldwide (hoping Microsoft will not notice!).

There is a problem though. Zune is released only in USA and is supported only in USA. This means if when you buy it, it has a problem you have to fix it yourself. You cannot use the 1 year warranty of Microsoft and send it back to the US to fix or replace it.

You are not without a solution though. If you have friends or family in US you can declare their address as the warranty address of Zune. In this case you can send it back to Microsoft but Microsoft will return it to the US address of your friend not yours abroad.

If you don't have any friends in US, its never too late to make some in our Zune forum. If you are a blond tall girl 18-25 forget the forum and contact me instead. Welcome to the social 

EDIT: This the official Zune warranty information link. As we read on section H:

H. GOVERNING LAW.

This Limited Warranty is valid only in the United States of America. The laws of the State of Washington, U.S.A., will apply to this Limited Warranty.