How you turn off your Zune will affect the battery life. If you let your Zune go to sleep on its own or you hold down the play/pause button to turn off your Zune, it's not really off it's just in sleep mode. When it's in sleep mode it still draws some power so the battery will not last as long. If you really want to optimize the battery life off your Zune you need to make sure you turn it completely off instead of putting it into sleep mode.

Turn to it off completely, make sure the Hold switch is in the Off position then hold down the Back and Down buttons at the same time until the screen goes black. Turning off your Zune in this manner will help increase the battery life.