From within the Zune software, is there no way to sort to get the Unknown's together? You can find Unknown in the Artist list and it should then filter to show you only albums with an Unknown Artist. You should also be able to sort albums by A-Z and find your Unknown albums. You can also switch to List view when on the Collection --> Music tab and sort by a particular column in that view. One of those three should get you to the point where you can select multiple files and delete them at the same time.
There are a few other ways that I know to drop those out and you are really going to have to take a look at your "pain" threshold to decide which might work best if the above sorting does not get you what you need.
If those directories are monitored separately -- meaning they are not a sub-directory of a monitored folder -- you can remove them from being monitored and that will drop them out.
You might also try moving that directory to a place your Collection doesn't see then rebuild the Music part of your collection. It will be rebuilt without those songs but you will have to go back and flag all of the other songs that were set to Never Sync. You will lose those settings once they drop out of the Collection.
Of course, you can always do a complete rebuild after you move that directory but again, with a complete rebuild you will not only have to reflag the Never Sync files but also resubscribe to Podcasts and get your video and pictures back in order.
If faced with the same task, I would try to sort within the Zune software so that I could group as many together as possible and start deleting that way. All of the other options will require some extra effort just to get back to square one.
EDIT: For all of these, if the Zune is connected when you make these changes, it should sync automatically.

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