It seems that once the game developer SDK was released for the Zune, lots and lots of people began creating unique applications for the Zune devices. Not only games, but other nice utilities (clocks, calendars, etc) are available. ZuneBoards has a list of games and applications available for download from this link. Definitely worth checking out.
The only bad thing, is that you must install Visual Studio Express (a Microsoft developer package) to install these applications on your Zune. Since I have other software development packages already installed on my desktop and laptop systems, I’m a bit reluctant to installing VS Express for fear of it conflicting with my other development environments. I guess some day I’ll be brave and bite the bullet and try installing a few Zune games and apps.