Info on the current relatively good state of OS X localization can be found here. MS Win XP has, by contrast, only been available to consumers in one language at a time. But Win Vista, which should be out at the end of January, 2007, promises a new Multilingual User Interface (MUI) which is likely to equal OS X capabilities and also go further by adding Arabic, Hebrew, Russian, Czech, Hungarian, Polish, Turkish, Greek, and possibly more. On the other hand, the new MUI will apparently only be provided with Vista Ultimate (retail price $400) and not with the cheaper Home Basic, Home Premium, and Business editions.
A list of various types of Vista language packs and input keyboards can be found here.
As for the Zune, I understand that its current software only does Latin script, which makes the device very limited indeed compared to the iPod.