Gapless playback has been my biggest gripe with my beloved zune HD since I bought it.
I mainly use ripped or downloaded content as opposed to marketplace content. It's a problem for all the different formats or ripping methods I use. I usually rip in Variable Bit Rate. There is almost always a jump between tracks which should blend seamlessly into one another.
If there was a message from the Zune team that stated: Do this or that to your music to achieve gapless, then that would be fine, but there has been no official advice on how to achieve gapless.