Well if I were you I'd avoid the Halo 3 Zune. I'm sure it works just like a regular Zune but the Zune is basically designed with the iPod in mind, minus the clickwheel. Also, going from your thin iPod to the clunky Zune might be tough, especially if you like to carry it in your pocket.
As for the PSP, well I am not a huge fan of it either. Bad disc format, expensive, and poor battery life (the new slim version might improve that though). I think the DS is a better handheld and is alot cheaper.
I'd stick with the iPod.
I was just wondering, seeing I love Halo. I already own an IPOD video, and planned on getting the new one when it is rumoured to come out in August. Then I saw the Halo 3 Zune. I am thinking of getting it, one of the main reasons being all the free content on there and everything. Plus, are you allowed to transfer the music files from itunes to a Zune. Thanks.
ps: Also thinking of getting that new PSP when it comes out, seeing I don't have one. Would it be better if I didn't buy the Zune to go with the PSP over the new IPOD when it's relased. Thanks