"Zune has encountered a critical error and needs to close."

The Zune software refusing to start, operating very slowly, or encountered a critical error and
needs to close are indications that 1 of these 3 things (or all!) have occurred on your system: 

(Step 1)    Your DRM subsystem has been invalidated.

Broken DRM is the most common reason why the Zune software fails.
If you have made any significant hardware changes recently (CPU upgrade, new motherboard, etc.) then broken DRM is definitely going to be an issue for you.

FIX:  ZUNE DRM RESET TOOL

Try running your Zune software now, if it doesn't work, try step 2.

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(Step 2)    Your Zune Library has become corrupted.

This isn't as common an issue as it was with prior versions of the software but is definitely something to try if DRM reset hasn't fixed the issue.

FIX:  ZUNE MEDIA COLLECTION RESET TOOL

Try running your Zune software now, if it doesn't work, try step 3.

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(Step 3)     .NET Framework has become corrupted.

another symptom of broken .NET Framework is Zune software will crash with an
error clr20r3. ** Only repair your .NET if Step 1 & 2 don't work.**

FIX:  .NET Framework 3.5

(If you run into issues repairing .NET Framework, use the Windows Installer Cleanup Utility to remove the .NET Framework installations from your system and then install 3.5 but if you run into any difficulties re-installing .NET, this might be indicative of a larger issue outside the scope of Zune support and you should contact your OS support group for assistance.)

If you are trying to install or reinstall Zune but are getting an error that tells you that Zune is already installed on you computer or you
cannot remove Zune from your computer using Add/Remove programs,
Follow these 2 simple steps (sometimes you need just step 1):

(1) Remove any partial or broken installs of Zune using
UnZoone (try the Windows Installer Cleanup (below) first)
or the Windows Installer Cleanup Utility (recommended)

(2) Download and install (optional - needed only if you do not already have the Zune installer)
the latest Zune Client (This is a 465MB file, fast internet or patience recommended.)

My Collection of
Microsoft Knowledge Base article and links to
various tools covering Common Zune Issues