I like Zune fine but it's not better than the iPod and iTunes (read about MS strategically innovating off Apple Spotlight search for a parallel). The navigation is not quite as easy and the software and the way it works with the hardware is still kludgy, despite having a few features up on iTunes. Integration with WiMP was expected, but the new app is more unwieldy, maybe do to DRM concerns.
You can get around not having shows on Zune marketplace by using iTunes to subscribe and download and set Zune software to pick up the files from the iTunes folder. That idea is sorta obvious but you can find real tips via CNET's Crave or Lifehacker, who pick news and tips from Zune fan sites.
In any case, if you're exporting video for the smaller Zune, you can use the iPod Nano preset found in many utilities.