I would buy a Zune HD if it had Bluetooth A2DP. I'm using the Backbeat 906 set with my G1 phone, and sound quality is more than merely satisfactory. Using an adaptor with a Zune leaves me with this thing velcroed to the Zune or a piggyback carrying case.
Not many players bother with Bluetooth. Most phones have the hardware, so it gets tossed in. The G1 had to wait for firmware 1.5 to get A2DP enabled. I understand the iPhone has the hardware but not software support.
Really, time for some players to get with it. Zune should have done this.