Microsoft has released a firmware update for the Zune HD. To install it, you need to bring up the Zune Software on your PC and go to Settings -> Device -> Player Update to download and install version 4.3. I just did the process and it took about 3 minutes to complete. All my video and music files remained intact after the update.
Paul Thurrott’s SuperSite for Windows has all the details on what changes were included in this update. Mainly “faster-better” tweaks (which is good!).