Unfortunately in French-Canadian slang, Zune is used to describe parts of the male anatomy. You know, your pecker, big-joe, schlong, etc, etc.
We're not sure this is a wise move on Microsoft's part (hehe), albeit its probably better than naming your device after what comes out of it. Take note Nintendo. µ
See Also
Microsoft confirms Zune
Further msPod rumours emerge
Microsoft iPod-spotters rattle their cages
Microsoft working on a portable XBox