I think I've said this in another place, but a bricking system would be extremely easy to implement. If you Zune was jacked, then you log on to your software, get a brick number, phone support, confirm your identity, give them the number, then they send you a brick signal so the device bricks when connected to the next computer with internet access. The screen could say something like: "This Zune has been reported stolen, if you have found this Zune and would like to return it, please call support."
This way, the original owner could have a "last laugh" of sorts, it doesnt get their zune back, but its easy to do, and costs almost nothing on microsofts part.
A full blown TRACKING system woul dbe harder to implement, and probably require a fee, just like the bak2you skyhook service does. If you pay your one-time fee, a program is installed on your zune that asks you to input a passoword on the device when its hooked up to a computer it doesn't recognize. Throw in your password, choose guest or main, and the device will remember each computer it connects to. If the password entry fails, the device is bricked and support is contacted via the zune software on the theif's computer transmitting their current address, in turn, the zune support team could notify the authorities of the red flag and a police officer would come to the house, legally be able to search it due to probable cause, and assist in the recovery of the device. If it was found, they send it over to MS who ships it to you no charge since you paid for this extended service.
Edit: I just thought about how this could work on device, singe the thief wouldn't be signing on to your zune card, use the naming feature to embed the zune's "name" on the device. Whenever the zune connects to the internet, it would ask you to sign in to your account (the the computer was unknown, in addition to inputing the password on device).
These two ways of looking at it I think would be the best. A paid tracking/recovery system, and a free bricking system.
SIG!