Here is a good post (which, in turn, is based on this MS KB article) on how to get the battery indicator on the Zune to more accurately display the battery level.
Here is an excerpt from the KB article:
For Zune 4GB, 8GB, and 80GB devices, the battery icon may not accurately represent the battery charge that is available until the battery has been fully charged and then discharged one time after you update the device. To properly cycle the battery, follow these steps:
1. With the battery at a half-full charge or less, connect the Zune device to a power source.
2. After the battery icon appears green (
), disconnect the Zune device from the power source.
3. On the Home screen, select settings, and then press the center of the Zune pad.
4. Select display, and then press the center of the Zune pad.
5. Select backlight, and then press the center of the Zune pad to toggle through the settings until the backlight is set to always on.
6. Select brightness, and then press the center of the Zune pad to toggle through the settings until the brightness is set to high.
7. Press and hold the back button until the Home screen appears.
8. Select music, and then press the center of the Zune pad.
9. Select genres, albums, artists, or songs. Then, select shuffle all.
10. Set the Zune device aside.
11. Once the Zune device turns off, press the play\pause button.
Note If the Zune device turns back on, wait until it turns off again, and then press the play/pause button. Repeat this step until the Zune device no longer turns on.12. When the Zune device no longer turns on, connect it to a power source.
13. Change the display settings back to your preferred choices.
14. Fully charge the device until the battery icon appears green (
).
Note Remember to set backlight and brightness to their previous settings. The default settings are 15 seconds and medium, respectively.
), disconnect the Zune device from the power source.