Do not need to subscribe to the Zune service. It works great with MP3's from amazon. I have not confirmed this personally, but was told that it will also play the unprotected songs purchased off iTunes as well. It will not play the "protected DRM" iTunes songs that they previously sold, but now that iTunes songs are DRM free, they will play on a Zune. This is no minor thing, as iTunes is still the largest library of music. I have found things on iTunes that don't exisit on Amazon.
They are both similar devices. Things I really like about the Zune are FM tuner, larger screen, wireless sync, and it works great with the Xbox 360.
Advantages for the iPod are and endless variety of accessories. EVERYTHING works with iPod. They have great docs, cases, etc.
I own an iPod, but wish I had purchased a Zune because I've started using it for watching movies and I wish I had the Zune screen. Also wish I had it for use with my 360.