I had a couple Zune names as well, and I found out that the time to sell them was definitely about a year ago, when the Zune was announced. Right now, Zune domains are hard to get rid of. I had a $125 offer for one of mine, but held onto it, and now I can't sell it for $50.
Wait a few years. The Zune 2 is getting a lot of positive feedback this year, and were sold out country wide a few weeks ago. The Zune is finally starting to take ground and grow...
It is a trademark. . . But I don't think Microsoft will go after a domainer because frankly they need people to be talking about them and getting the word out about the zune.