Tromboneforhire is right on the money. To expand a bit, here are the three most common reasons an album is unavailable:
1. Albums are not cleared for digital distribution: The label has not ok'd an album for digital sales. These albums are not availble in Marketplace, iTunes, REAL, or anywhere.
2. Entire artists (such as the Beatles, AC/DC, etc.) choosing not to distribute digitally.
3. Many smaller artists and 1-band labels may not have a deal with Zune (or any digital retailer for that matter).
Most of the time Protection63 (although not all the time), if an album you like is not available in Marketplace it is not digitally available at all. This is a decision coming from the labels and the artists, as we'd like to offer as much music as we possibly can!