I have a Zune and use the program. Its free to be a member, you can use your MSN or Xbox LIVE account if you have one. To buy music, videos and other stuff, you can buy Microsoft points, either online with a credit card or at a store.
I'm not sure how the unlimited download thing works. I think Akheathen might be right about it being like a lease. But you can keep 10 of your favorite songs forever. lol.
But i know that once you download the music, it gets saved into a folder on your computer. So I would assume that your allowed to keep it.
And i think you would be able to transfer your music from Zune to iTunes.