From the Zunerama blog:
Here's a technique that can significantly prolong your Zune's battery life.
Most Zuners turn off their player by pressing and holding the play/pause button for a few seconds.
When you power back on, Zune will bring you back to whatever you were doing when you powered down - whether that be listening to a song, watching a video, viewing a slideshow, listening to radio, and so on.
While that's nice, there's a price! The player uses a little bit of battery power to preserve that information while the player's off. Essentially, the player is going into hibernate mode, ready to spring to life when you turn it back on.
There's a better way to turn it off that saves battery life. You won't find this method in the minimalist "Start" pamphlet that came in your Zune box.
Press and hold the down button on the D-pad, and at the same time press and hold the back button. In three seconds, the player will fully power down.
If you're not going to use the player for a few hours, or if it's just not important to you that it start at your most recent function, this method will keep your battery juiced for a much longer time.
When you do power the Zune back on, it'll display the Zune logo momentarily (about 4 seconds) and then take you to the main screen.
This trick has been well-known in our forums for a while, but I think it warrants highlighting in the blog. For me, it's the most commonly-used of all "undocumented features" of your Zune!