The built-in Music player allows you to create and customize playlists from the device. You no longer have to plug in to a PC and run the Zune software. The Zune software that is built into the phone is a refreshing alternative to iTunes.
In the Music+Video Hub, you will find YouTube, Slacker, and Last.fm integration. This allows you to see a list of the videos you've watched or the songs you listened to on those services.
SmartDJ is a playlist creator in the Zune Player that creates mixes based on similar songs in your collection. Although this is a feature of the Zune desktop software, it is a new addition to Windows Phone 7.