Though I admit your 3 to 4 hours is on the low side. My own Zunes (30 and 80) are notorious for their inability to reach their rated battery charge life (though it's closer to 6 and 8 hrs...on a good day).
I'd say that in your case that you have a particularly bad battery. Bad batteries happen. If I were you, I'd simply take the Zune back and demand a new one, assuming that you didn't buy it all that long ago.
I purchased a zune 120 and the battery lasts about 3 to 4 hours only playing audio with wireless off. I think its because i did not let the battery fully discharge after fully charging it while putting music on it.
I know its a lithium ion battery that supposedly has no "memory effect" issues. So my question is: Is there any way to re-calibrate the battery? I read that all you have to do is fully charge it, then let it die, and it'll be fixed. is this true?
an answer would be greatly appreciated.