I think the first thing they should do to improve their "cool" factor is to make Zune work on non-Windows platforms. I think the Zune software, hardware, and service are all fantastic but more and more the cool kids aren't using Windows, and in my experience running the Zune software in a VM adds enough friction that it usually isn't worth it.
I've got a MBP and a Lumia. The WP7 connector that's available on the Mac App Store allows you to sync your WP7 with iTunes/iPhoto, but doesn't include the Zune player itself, which is so much nicer than iTunes.
