I've had the exact same problem with my daughter's Zune 30; right down to "it's fine connected to a stereo [yes, even from the mini-plug]".  It is about 1 yr. old now and developed this problem about 3 months ago.

After puzzling over this and examining the unit, I've found that the mini-plug jack on her unit appears to be just a bit out-of-round and not quite flush-mounted with the case.  The jack sits just a little counter-sunk toward the back of the unit.

To this end, I plugged the earbuds in and started applying thumb pressure at the top of the molded plug housing, from the back forward, and VOILA!, I get full sound from the earbuds.

All I can see in that direction (inside the jack, toward the back of the unit) is one contact, placed rather high for a mini-plug.  I would venture to guess that this has something to do with how they detect the difference between earbuds and, say, feeding a stereo input.  I'm not sure what the exact mechanism is (impedance matching, voltage feedback?) but as long as pressure is applied in that direction, the earbuds work fine.

Until we can get back to the retailer, a rubber-band, while not too attractive (and much to my daughter's chagrin), has proven a very effective temporary fix.