Despite semi-denials from Microsoft about the existence of the ZunePhone, we still have it on good word that the phone will be launched some time this year. And if you take all the patents Microsoft's filed lately and look at them through a ZunePhone lens, you'll see that there's even more evidence to prove that it's coming.
Among the patents that Mad4Mobiles found are speech enhancement/filtering, an on-screen keyboard (like the iPhone!), capacitance touch slider (like the iPhone!), contact display, health monitoring (wha?), clamshell form factor (hrk!), and remote control of playback on a remote device. All these point to various features the ZunePhone could have, but may not make it to the first version.
12 Patents that define the Zune Phone [Mad4MobilePhones]