Zune isn't available in the UK but my friend imported both the Gen 1 and Gen 2...
It's, well, meh. The 2nd gen is good sizewise, it's slightly bigger than an iPod Classic but I don't remember it being any thicker. I didn't care much for the user interface, though; I don't like a GUI which is designed to be so simple that it makes me feel like an idiot. Sure, it's got a bigger screen but the resolution is hardly different to the iPod, so you're gaining nothing. The FM radio is a nice touch, but to be honest it's something I'm expecting to appear in the next iPod if the iTouch doesn't already have it. I don't care for the Zune Marketplace because the Zune's not officially available in the UK (well done to MS for shoving everyone in Apple's direction, there's no reason for them not to release it but still they don't bother) and I can't access it anyway. I can open up iTunes and get much much more content instantly anyway, the iTunes Store has been available in the UK since day one and actually is no more expensive.
The Zune is good sizewise but also butt ugly, as far as I'm concerned. I'd rather be seen with an iPod, it's got the cool factor that I don't think the Zune does, to be honest.