I got my zune a couple months ago and I bought this : http://cgi.ebay.com/CASE-CHARGER-SET...QQcmdZViewItem
I bought it for the case, but now I dont use the case and use the FM transmitter everyday. It sounds great!! The packaging is all in chinese, and that might be why it works so good. It comes with a a wall charger and a cigerette lighter along with a ciggerette plug for the FM transmitter.
Its a pretty good deal although the "leather case is bulky and stupid. I threw it away.