Well, it's somewhere (as in, I don't have one yet).
So I hear from Microsoft Press Pass: "Microsoft’s Zune Delivers Connected Music and Entertainment Experience".
Zune will be available this holiday season in the States. It has a 30GB digital media player and access to the Zune Marketplace music service
The Zune device has wi-fi, a built-in FM tuner and a 3-inch screen with customizable interface. The device comes in three colors: black, brown and white.
Zune and the Zune Markeplace let you browse millions of songs. You can choose to purchase tracks individually or buy a Zune Pass subscription for a flat-fee download.
More details as I get them.