Microsoft’s Zune player goes on sale today in stores across the USA. Its launch was inaugurated with concerts kicked off in Seattle, Washington, and continuing to Atlanta, Chicago and Miami, with the day culminating with shows in New York and LA.

Bill Gates took to the stage in Seattle, where he demonstrated the Zune-to-Zune sharing feature with a local DJ, before giving it away to a person in the crowd.

To recap the Zune’s features, in case you’ve been living under a rock for the last few months, it comes in black, brown, and white, retails for $250, holds 30GB worth of data, and displays photos and videos on a 3-inch screen. Unlike the world’s most popular digital audio player, the iPod, the Zune features an FM tuner, and wireless capabilities, although critics say that Microsoft failed to exploit its wifi potential as it should have.

Although songs can be shared from device to device, the received songs can only be played three times over three days, and cannot be sent from a Zune that received a song wirelessly. Songs can’t be transferred to the device wirelessly from a PC, either.

Analysts have been cautious with predictions on how well it will sell, as many people with large libraries of songs purchased from iTunes won’t be able to transfer their songs to it. However, Microsoft has said that it’s in it for the long run, and has even predicted it may take 5 years before it does really well in the market.