I have recently become a convert to bluetooth with the Sennheiser mm100 that I use with my iphone and my espow watch phone. Bluetooth has finally come of age and with the popularity of podcasts such as Tiesto's club life and A State of Trance, the difference between bluetooth and cable is minimal, particularly in mobile contexts. I prefer the convenience of not having cables and I particularly enjoy the Sennheiser mm100 whilst riding my bike (this is the only neck bluetooth headphone I am aware of and therefore fits well with a bike helmet). My watch phone has bluetooth, but unfortunately has dropouts which does not occur from my ipod touch/iphone. The ipod touch or iphone is too large for bike riding and running and I am looking for something smaller hence an ipod nano with bluetooth. I have been using nike + lately but maybe it is a gimmick as it is quite inaccurate, particularly if you change your speed of running, so that feature perhaps is not so important as being built in (like it is with the ipod touch).
The problem with the Zen is lack of use with my existing itunes library. This is where Apple is quite smart by locking you into their ecosystem as I like to keep all my podcasts synced, as I listen to them across multiple devices.