All three generations of Zune, so far, all run the same software, and all have the same connections. It is a great device. It's subscription service, "Zune Pass", which Tiggeroo alluded to, is fantastic: $15 per month for unlimited music, that you can carry with you on your portable device. I believe the subscription model ($15 per month for unlimited music) is offered only by Rhapsody and Zune Marketplace. It is a very significant competitive advantage that Rhapsody-compatible devices and Zunes have over all other MP3 players.
This was discussed in another thread a few days ago, and at that time, I checked (because I was curious) what we've gotten from the subscription service, so far... My wife and I have downloaded a total of 3,670 tracks from Zune Marketplace, via the subscription service, since we started using it earlier this year. We probably don't listen to all of those songs every month, but my wife has logged 19,974 plays, and I have logged 7,010 plays, since we've started the subscription service. I know I've gone from listening to practically no music, to carrying my Zune with me practically all the time, and enjoying it greatly. The impact of the subscription service is most noticeable in that we're listening, now, primarily to artists we recently discovered, rather than, as was our tendency before, just the same old artists that we've been listening to for decades. I cannot say enough good things about subscription music.
However, one thing that recently changed may push you towards Zune instead of Rhapsody: Now, for the same $15 per month, you not only get the unlimited music subscription service, but you also get to choose 10 tracks each month for which you can download DRM-free MP3s -- i.e., these are tracks you can keep forever, even after your subscription lapses. If you figure you're buying 10 tracks a month already, at $1 a piece, that means the unlimited music subscription service is only costing $5 per month. A very good deal.