I just absolutely cannot stand the stupid scroll wheel on any iPod, but I'll have to agree with the whole playlist thing. You can have playlists on the Zune, but you can't actual put together playlists on the device itself (except for a quick list thing) - you have to put together a playlist in the software, and sync that to the device. Unfortunately, the software absolutely blows, so I avoid using it for anything other than syncing my device.
I just don't understand what the deal is with Cowon leaving out all these little features, no ID3 tagging on the O2, seriously? And no playlists? Hell you could put together playlists on the Creative Nomad Jukebox Zen Xtra, and name them (of course you'd be lucky if the headphone jack didn't break before you could listen to any of your music)