Sorry, I have to always counter this stuff. OLED is *not* power efficient in many scenarios - in fact, it's ONLY a win when it's mostly off (ie, lots of dark pixels). I've no idea how the OLED marketing guys managed to get this one into the collective consciousness, but it's a total lie.
If you're displaying white content (eg web pages), then you'll find OLEDs are up to 2x higher power than an LCM. That likely accounts for why the Zune UI (and actually, a lot of android UIs) use black backgrounds.
I think initially it was touted as a big win due to the lack of backlights back when CCFL was still the primary LCD backlight mechanism. CCFL backlights were made even more efficient since the initial OLED hype, and LED backlighting and regional dimming (on TVs) helped too. Of course the OLED side won't point that out.
Wikipedia has this to say about it:
Power consumption: While an OLED will consume around 40% of the power of an LCD displaying an image which is primarily black, for the majority of images it will consume 60–80% of the power of an LCD – however it can use over three times as much power to display an image with a white background such as a document or website. This can lead to reduced real-world battery life in mobile devices.
I'm sure the marketing teams have always glossed over that white part, leading to many (including myself) to only remember the general power efficiency argument without quantifying when.
From my experience, The Zune HD hardware did try and keep things black as much as possible. Windows Phone 7 does too, but to a more limited extent. It's probably much like Android where a mixture of LCD and OLED screens are out there, so there isn't as much focus on optimizing just for OLED.
Battery wise, looks like the Zune HD does indeed have a smaller battery then the iPod Touch 3rd gen.
The Zune HD’s battery capacity is 660 mAh, about 16 percent less than the 789 mAh battery in the new iPod touch. Yet the Zune promises a longer run time than the touch for both music and videos.