Separate devices. I have a ZuneHD + whatever phone of the month I have. For starters, I use Zune Pass, which does not work on other devices, and frankly none of my phones have had a media player on the level of the Zune's anyway. Perhaps WinPhone7 will solve this.
This.
Separate devices is kind of annoying, but at least it means I get the battery life of both devices - the ZuneHD has awesome battery life, and my phone doesn't have to suffer at the hands of constant music.
I have always said, if WinMo7 can actually it all right, I might be able to let myself keep 1 device for everything, as we know ZunePass
will work on the new WinMo (The ZuneHD software is basically built in to the OS)... the question is, can I tolerate the rest of the OS? I love the ZuneHD, but early discussions about the capabilities of the OS leave me worried - I absolutely love what I can do with Android on my Moto Droid, and right now I think having all of that, plus LTE, is exactly what I want for my next phone. WinMo might not ever get my love again, so I might always just stick to multiple devices.
And hell, outside of the gym or running, the only time it seems I actually use my Zune is inside my truck (I only listen to the Zune in the vehicle these days)... during college, I often had both devices on me at all times, as whenever I walked around campus I had on my earphones. A separate device is even more handy now, as the ZuneHD is better to strap to my arm for running, and perfect as a dedicated music source in my vehicle.