I've been playing around with my Zune HD and having great fun with it. I was interested to see how well the radio would work in the UK and the answer is "not too bad". Assuming you adjust the radio options in the settings menu to "Europe", you get reasonable reception with a couple of things to be aware of:

1.  If the signal is strong enough it will pick up the station name and some additional information about the station. For example, see the image below which shows not only that I'm listening to BBC Radio 1, but also which programme is airing: 
   
   
   

    

2. There's no equivalent to the US station call sign, so you get a weird collection of letters eg "CFJM" in the above example. If you add the station as a favourite it adds it with this as the label unfortunately
3. HD radio doesn't work of course because we use a completely different system for digital broadcasts in the UK. However it doesn't affect your ability to listen to normal analogue FM broadcasts
4. It's worth being aware that the headphones act as an antenna, so make sure they're plugged in and preferably in your ears before trying to tune to a station

One of the best things about the Zune HD so far though? Get this baby out on a train or in any public place and you'll get people looking and wondering what this device is that's so cool but obviously isn't an ipod. Almost worth the entrance fee alone :-)