Looking that various reports from Engadget, Crunchgear it looks like Zune HD is a major sellout. It could be because of one following reasons, a) retailers afraid to stock up b) Microsoft trying to create a artificial scarcity or c) the response has been overwhelming. From the user feedback and reviews, I believe it is the c) . 

Following stores have been sold out:  Amazon( 32GB Ships in 1-3 weeks),  Newegg (32GB ETA: 09/22/2009),  BestBuy (32GB 1-2 weeks)

However, the following stores still seem to have them: Walmart, Buy.com, Microsoft Online Store and Zune originals

Personally, I would go with Zune Originals, where you can create custom inscription, pattern and more color choices.  (the site takes a long time to load though)

via Engadget and  Crunchgear