if you are leaving it sit for a few days at a time, I recommend powering the zune completely down. holding play only puts it into hibernation. I believe you hold back+down or back + something. i cant recall which combination it is but that will keep the battery from draining over time significantly. however, when you start it back up, it has to go through the loading bar, and also it will not remember what you were listening to last so you have to find what ever it was all over again. not a big deal though really.
do a search on how to power it completely down. that should help out a LOT