Are you talking about buying songs or the Zune Pass unlimited subscription based thingy?
For individual songs, I thought they were DRM free and it seems supported by wikipedia:
Initially offering 2 million songs, the Zune Marketplace has grown to offer 11 million songs[4], all of which are now available in MP3 format at up to 320kbps and are DRM-free.
I'm curious as to why you'd buy from there, since they have killed the hardware, instead of something like Amazon (PA boner alert) since they also have DRM free mp3s. Hell, even iTunes is DRM free nowadays, except it isn't in mp3 format.
