Ok, this one may have been obvious to some people, but it got me frustrated so I thought I would share.
I wanted to be able to charge the zune from a usb port, but still use the zune itself to listen to music. However when it was plugged in it just said "Connected" and I couldn't use the device. I looked for some kind of eject button in the zune software, because Ipods used to have this same issue, but couldn't find any. I looked and looked, and searched the internet and just couldn't figure it out. Finally I gave up and closed the zune software and shazam, the connected screen on the device went away.
So again, this may be obvious to some people, but if you want to play with the zune while it's plugged into a computer, just close the zune software.