I'm sure a lot of people know this, but for those who don't, the reason it doesn't have an EQ is because the hardware doesn't support it, they opted for a more power efficient chip from Wolfson this time around, so they could achieve acceptable battery life, especially with Wifi on. They probably could introduce a software EQ, but software EQs suck, so it wouldn't be useful for anyone interested in sound quality anyway.
The Zune has great sound quality, I wouldn't use an any EQ adjustments if it had them, they usually muddy things up. A better option than an EQ is getting good quality earphones that have good synergy with the player.

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