Zune is an mp3/video player made by microsoft that allows one to seamless manage media between the Zune, a PC, and an Xbox 360. The Zune marketplace is the where Zune users can go to purchase songs and videos, and also to subscribe to podcasts (for free). Podcasts can be listed in the Zune marketplace (for free), giving podcasters exposure to several million more potential listeners (like me).
http://social.zune.net/podcasts/