I have a 2nd gen Zune 80 and a Samsung Focus. I listen to a wide range of music and I like heavy bass as much I like discovering subtle sounds in songs that I've heard many times before but *I am not an audiophile*.
I did a very unscientific side-by-side comparison this morning. Initially I was using the stock Zune headphones with my Zune and the stock Samsung headphones with the Focus. I was surprised that the Focus sounded much crisper but then I realized that my Zune earphones have taken a beating (more than I realized) and proceeded using the Samsung headphones for both devices for a fairer comparison.
Volume - I think a 16/17 volume setting on the Zune is about the equivalent of 30 (the max) on the Focus.
Sound - Better on the Zune but pretty good on the Focus. I compared about 7 songs that have a wide range of instruments, complexity, bass, etc. (soca, bhangra, rock, ch'abi, and electronic/dance). When I listened closely, it seemed like the Focus slightly distorted the synth on the electronic song. The Focus produced bass which was pretty deep but not as crisp as the Zune. I could hear the different instruments in songs on the Focus but they were more muddled than the Zune. Once again, I'm not an audiophile, so I don't know how to describe the differences that well.
I think you should keep your HD, listen to the differences yourself and judge from there.
I currently use my tv as speakers (don't judge me lol) so the only time I get to listen to my music in depth is on my portable device. That being the case, it's a bit disappointing (though not surprising) that the Focus's fidelity isn't on par with the Zune's. However, it's good enough that I'll probably retire my Zune.
Another thing that you might want to take take into account is that the Zune implementation on the Zune HD differs from that on the WP7. If you're into music discovery, the differences are particularly significant. Here's a video that outlines them -
YouTube - Windows Phone 7 vs Zune HD.
I held out on getting a Zune HD because I figured that WP7 would mirror its functionality. It seems to me that the only reasons to have a dedicated player should be battery, storage and perhaps output quality. Samsung did what was expected by producing a device that doesn't have great sound quality but Microsoft complicated matters by making Zune less refined and feature-rich on WP7.