It would make sense.
I really want to believe that this is possible but, not for the application you're suggesting. There are accessories for the iPod that allow for audio recording via an external mic so, it makes sense that the Zune should have similar capabilities that simply aren't being exploited.
As interesting as it sounds, the concept of turning your zune into a mobile radio station might be a bit far-fetched. However, I could see something similar. With the ability to transfer pictures, podcasts and songs wirelessly, it's reasonable to believe that one may be able to utilize either the hardware that enables those transmissions or the FM transmitter/reciever to do the same with live audio. This could lead to short range voice-messaging or even a walkie-talkie like feature
Unfortunately, like you, I am much better at conceptualizing possiblities than I am at actually figuring out how to make them reality but, I certainly hope that there is someone out there with the technical know-how and desire to explore the possibility. I highly doubt that something like this would really be all that practical but, hey; it would just be one more thing that I could use to make my wife wish she would have bought a Zune instead of an iPod.

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