What some of you may also want to try is Guest sync. It has limited functionality but for those that want content on their Zune but not on their hard drive, it may be an option.
When you connect as a guest, there is no automatic sync. If you delete from the Zune it does not affect the Collection. If you delete from the Collection, it does not affect the Zune. You may have have some issues with Zune Pass content or tracks purchased with points.
If you go to Settings --> Device in the software, you will find an option to Forget This Device. This will remove the association between the device and the PC. From that point on, when you connect, you will be asked if you want to make the PC the "Home" PC or do you want to connect as Guest. Select connect as Guest.
As a guest, you can copy content from the PC to the device and copy content from the device to the PC. However, none of this is done automatically. The Guest sync is a feature that would allow one Zune user to connect to a remote computer and either deliver or pick up DRM free content. The automatic sync is disabled because it would be really poor form for a guest to have his device wiped or for his device to wipe a friends Collection simply by connecting.
Theoretically, you could build your collection, sync, forget the device, and then delete everything in your Collection without that delete making its way to your device. From within the software, you can still delete content off the Zune when you need to.
I have a second machine and installed the Zune software to do a bit of testing. When I plugged it in, it prompted to make the PC the Home or attach as Guest. It also gave an option to always attach as Guest to that PC.
I could go to Device --> Music and see my music but album art did not show up in the software. The collection on that computer was completely empty and plugging in the Zune did not cause it to sync.
Right clicking on content from the Device --> Music tab gave me the option to Delete from Zune or Copy To Collection. Adding and deleting content from the Zune Collection in the software did not affect anything on the Zune. It is probably the most manual method of moving content around in that you have to select everything you add or delete and changes in one place are not propogated to another.
As far as I can see, if you do not need to sync Wirelessly, do not mind manually syncing Podcasts, and don't have any DRM content, Guest sync may be a very good option for keeping content on the Zune but not your PC.