This one may have been speculated and buzzed about even more than the iPhone Nano. And while the tiny Apple handset might be around the bend, an extremely well-situated source has said, straight up, that the Zunephone will not be announced at CES. It may or may not be significant that this person did not rule out the possibility of the existence of said device altogether.
In fact, he was very specific in saying that a Zunephone will not be announced at CES. That almost implies that it will be announced elsewhere. Then again, I could be reading far too much into the statement, "the thing everyone is talking about online will not be announced at CES." I can tell you that this was said in reference to a Microsoft product.
Who knows? It's a bit silly to look so closely at such a brief mention. But like I said, this is a good source.