The Zune4 and Zune8 have two main high-density PCBs (printed circuit boards) that hold all of the electrical components and connect them together. In this shot, you can see both: one removed, and one still inside the player. In order to achieve thinner products, these boards are only 0.45mm thick, and contain 6 layers of "wires" or traces. The distance between layers is only 50um, and the traces can be as thin as 75um and spaced 75um apart. Being able to work on this small of a scale allows Microsoft to pack in a lot of functionality in small spaces.
Photo credit: CNET Networks