I got my Zune HD about a month ago and looked all over for one too. I couldn't find one either. I did buy the Belkin armband at Best Buy a couple weeks ago and like it so far. It's the only one I could find, so I don't really know what I would've done if I didn't like it.
Since you're looking for an armband for exercising, I also recommend the Sennheiser CX680 headphones. When you find which ear pieces fit you best, they will not move when you're working out, no matter how much you're sweating.