After months of considering my options for mounting, and listening to my ZUNE through the internal sound system of my BMW, I have finally acted and am quite pleased with the results.
I ordered an aux input adapter kit from http://www.bavauto.com and followed the provided instructions ($39.95 US) and mounted it in my glovebox. The kit had the harness needed to connect through my non-existent Multi-Disc Changer's dedicated input. Now pressing the MODE button on the Business CD face until finding AUX has me listening to hours and hours of audio without the hassle of headphones, poor radio reception and loose zune mountings!
I am also using (for power and line-out) a Belkin TuneBase. It consumes my one-and-only 12volt power supply, but is stable, rotates nicely for watching movies, and has a built-in FM transmitter (worthless to me in the Dallas/Ft. Worth area).
This post might be helpful for others looking for options with their ZUNE and their automobiles. How will I mount my PockePC / GPS now?