We've got some Zune battery life numbers thanks to Cesar of Zune Insider fame. The Zune will apparently get 13 hours of audio playback with wireless on, and 14 hours with wireless off. This, with the player doing absolutely nothing else while playing music—no backlight, no fiddling for songs, no picking your nose, no volume adjustment.
For video, there's going to be a 4 hour battery life (not sure if this is wireless on or off). These Zune numbers aren't impressive, but they are around the same as the 30GB iPod Model which has 14 hours of music and 3.5 hours of video. So it seems the Zune's needs a bigger battery to match the 30GB iPod in terms of usage (thanks to its larger screen), which contributes to the Zune's bulk.
Battery Life [Zune Insider]