Here lists several solutions to get music, video, movies, audio books playable on Microsoft Zune player.
Purchase songs and movies from Zune Marketplace
You could get a Zune pass, subscribe for $14.99 a month with unlimited downloads for that month. You can also go for individual downloads.
1) Subscribe
* Sign up for a free Zune account.
* Download [...]

“As many of you will know, I recently purchased a Microsoft Zune player (to replace my lost iPod, which never surfaced no thanks to crappy Iberia!). Unfortunately, days before the arrival of my Zune from the USA, I made the switch to Windows Vista. This meant that, when the Zune arrived, I couldn’t sync it [...]

When will the Zune be available in stores?
The Microsoft Zune has been rumoured that it will be released on November 14th 2006. This is still just a rumour and has not yet been confirmed by Microsoft.
UPDATE: Microsoft has now made the release date for Zune public.
OFFICIAL RELEASE DATE: November 14th 2006
(The rumours were right!)

The Zune has now gone on sale and can be purchased through Zunehomes “buy a zune” store. You can get the Zune device and a variety of accessories for the Zune. If you want a Zune, click below to get a great price on it!Currently the “Buy a Zune” store offers you the ability to [...]