You can select a song or album, and then the player will create a playlist based on that. Here, we're using the Bloc Party track "Tulips" to create a list. If you have a Zune Pass and are connected to Wi-Fi, the playlist will include selections from the Zune catalog as well as your own library.
Pulling up the search option populates a full onscreen keyboard, which you navigate via the dock remote. Zune has implemented a handy auto detect feature that will attempt to fill in what you're searching for.