Zune is not available in India. it will be difficult to get support for zune, or even the updated firmware, i guess, if you are from outside the U.S. my suggestion is not to go for the zune.
my vote goes to Cowon...
but easiest available is ipod, so another suggestion is, buy ipod classic, buy a LOD & a Headphone amp, and hook up a good pair of earphones (most important par of the rig), and i am sure you will get "Supreme" music quality.
but your budget wont permit that, nor will it permit a Cowon or Archos (if you are in India)......if buying in the US, in USD then its fine.
therefore, get the classic, and buy some good earphones along with it for now. when budget permits, upgrade to a LOD+headamp.