It can wirelessly sync with your PC. One less cable snaking across your desk!
It's compatible with Microsoft's all-you-can-eat subscription service.
And let's not forget the obvious: You're getting twice the storage space for a mere 20 bucks extra. Granted, iTunes is vastly superior to Zune Marketplace in terms of selection (for music and video alike), and the nano has a slightly larger screen than the Zune. But those are nit-picks: The Zune is slim, cute, pocket-friendly, versatile, and a steal at $119.99 shipped. I've been carrying one lately when I run, and it's a great little exercise companion.