Step 1: Download YouTube to Zune software. Install and launch it.
Step 2: Download YouTube Videos and save YouTube flv to your personal computer:

Step 3: Convert YouTube flv videos to Zune compatible video:
Click
to input YouTube video file to be convertered (batch convertsion supported, you can add as many YouTube files as you want).
Under Profiles option, you can choose Zune formats what you want to convert YouTube to Zune:
Zune TV Size1 (480x368) Windows Media (.wmv)
Zune TV Size2 (512x384) Windows Media (.wmv)
Zune TV Size3 (640x480) Windows Media (.wmv)
Zune Video - MPEG-4 (.mp4)
Zune Video - Windows Media 7 (.wmv)
Zune Video - Windows Media 8 (.wmv)
Zune Video - Windows Media 9 (.wmv)

Then click the folder button, select the destination folder where you want the converted Zune video files to be stored.

Click
button to start converting YouTube to Zune.
After successful converting YouTube to Zune, the converted Zune video files shall be stored on the folder you have previously selected.
Step 4: Just transfer all converted videos to your iPhone, and enjoy it any where.
Plug in your Zune to computer via USB cable, then zune software will detect your Zune as a device. drag your converted video to Zune software and click 'Start to sync', then your video will be transfered to Zune. You can download the Zune software free from here, if you don't have yet
http://www.zune.net/en-us/meetzune/software.htm

Ok! we have finished the whole process to convert YouTube to Zune.