Not all MP3's are encoded properly. Some are, some arent. Make sure your source is legit. Second the human ear can detect changes from anything 224kbps and under. Make sure your MP3's are atleast 224kbps or better. Third your HU may bypass the Zune's DAC, it may not. Depends on the HU. Chances are it doesnt. In order to combat that make sure you turn off the Zune's EQ. Im not familar with Zune or the software you use to put music on it. With iTunes there are settings for level equalization for each song, fade settings, etc. Make sure all of those are off or set to neutral so it doesnt color the music.
so the digital-to-analog converter on the head unit is better than that on the MP3 player is what you're saying right?
The DAC within a quality HU like an Eclipse CD7000, CDA-9887, or any other high end HU will have better DAC's than an MP3 player including iPods. The older iPod's actually had better DAC's than the new iTouch's.