I have a Zune Pass and download everything through the Zune program on my desktop, and occasionally on the laptop or the ZuneHD. I still use a Zune HD as my primary listening device because it has the best battery life and marginally better sound with my earphones. I love the Focus, especially its Super AMOLED screen, and WP7 is mostly great, but I'm not as phone-centric as I used to be, and the Zune HD is still my favorite mobile device. I have a 30GB or so collection that I have also loaded (dragged and dropped) on my Samsung Focus. One advantage of the Focus is that it has a speaker and that is handy sometimes. Note that you can also sync your collection to the WP7 phone wirelessly through wi-fi.
I should note that I used Zune on the desktop since its early releases, and I manage a large collection that includes a lot of ripped CD and mp3 tracks, along with tons of Zune Pass-downloaded albums and tracks. So, I'm especially comfortable with and adept at managing my music and broadly my Zune Pass account through the desktop program.
Go for it: you're going to love it! In any event, good luck with whatever you select.