A buddy of mine, Kevin Tofel, from JKontheRun posted a link to a bit from Craig Pringle. Apparently, there are issues with the audio from the HD channels Craig is using to grab media for his Zune.

As it turns out none of my recorded TV had audio.  I did some investigating and found that this was because all of my recorded TV was recorded from HD channels.  It is not that the Zune does not support HD, per se, but it does not support Dolby Digital audio that inherent in the HD stream. - Craig Pringle

 

Apparently, the Dolby Digital audio streams aren't yet supported so only his standard definition programming had audio playback. Hopefully, this gets researched or resolved since part of the "HD experience" is the high quality sound that goes with the video. While I don't expect the Zune to support 5.1 surround sound, I'd happily take a standard stereo track for video in my pocket. - JKontheRun

Sources: JKontheRun and Craig Pringle