To be honest, much of the problem here sounds like your headphones, as others have noted; did you try them on the Zune? Decent sennheisers are typically high impedance (64-600 ohms) and these are very hard to drive for battery powered players - to get any sort of power into them you need to have more voltage swing than you'll get out of a standard 3v audio path. You'll definitely notice a lack of punch and general anemia with the audio.

These players are designed to drive 16 or 32 ohm loads (iPod headphones are 32 ohm) - this goes for every portable audio device I've ever come across apart from the unreleased Rio high end one that I designed that did 6v audio out for this very reason

Solutions involve spending money... buying low impedance headphones (sennheiser do them) or a headphone amp. Boostaroo is a popular one - http://www.boostaroo.com/ - these have a boost dcdc supply in them to give the amp more headroom.

In my opinion the iPods before gen6 sounded better, but that's just my opinion... it's the first HDD iPod with DC coupled audio out, I think.

Hugo