The simple answer is "because they're not iPods." Many people, sadly, still act as though if you are different, you are somehow wrong. Why on earth should they care what MP3 player you have? It's your money, it's your music, it's your experience - but doing what everyone else does makes them feel safe and comfortable, and so they mock you. It's incredibly childish. Oh, also, it's from 'teh M$soft', so therefore it MUST be bad.
That said, the Zune was definitely lacking when it was first released, especially in the Marketplace. Since then, though, it's improved dramatically. I love mine, personally, even though it was one of the ones that suffered from the -what did you guys call it? Z2k?