The Zune player was a great choice, I love mine. Here's a couple links for you to check your, which are accessories for virtually any player, both of which I have. I would seriously recommend the screen protector, the decal is just for personalization but it does offer some protection from scratches.

javoedge

Although not on a Zune player, the video below will give you an idea on how to install it.
javoedge installation

Decalgirl.com also has decals for the PS3 and Xbox 360 etc.
Decal girl

The only reasonable argument for owning a gun is to protect yourself from the police.