Make an awesome functional zune case/sleeve out of the useless one in the box.
If You have a Zune, You are wise. If you have a Zune original, you are very wise. There is a cool bag that houses the zune in the zune originals package (others as well?) I just figured that it could have more use than sitting in the box after it was opened.
If you're reading this and you don't have a Zune, Get one already!.
You can always check back to 'tips' if you have a problem.