Well, the Zune has been in stores for less than two days and Microsoft has already shipped a firmware update, bringing the devices from version 2.1 to 2.2. Here's some info from Microsoft:
Version 2.2 (1040). This update enhances device functionality and performance. By default, the wireless feature is turned on. To turn off the wireless feature, select settings, select wireless, and then turn off the wireless feature.
Here's a picture of the Zune update process: