Starting with the Zune 3.0 firmware, you can install and play a set of games on your Zune device. Texas Hold Em, Hexic, Checkers, Sudoku and Space Battle are available in the Zune firmware and software that is available at the time that I am writing this blog post.
These in-box games are created with the XNA Framework, but they behave a bit differently than Zune games that you can create yourselves with XNA Game Studio 3.0. Specifically, many developers have asked on the forums why these games do not require a reboot of the Zune device when you exit them, whereas games created by other developers and deployed to the Zune device using XNA Game Studio 3.0 or via a .ccgame package do require a device reboot.
My colleague Michael Klucher has posted an item on his blog explaining more details about what is going on behind the scenes in these scenarios and why one set of games requires a device reboot and another set does not. If you are interested in learning more, I encourage you to read the blog post at http://klucher.com/blog/zune-games-and-rebooting-devices/.
Also, this scenario has been reported several times via the Connect bug reporting site. If this scenario is important to you, I encourage you to vote on this existing Connect bug (please vote on the existing bug instead of opening a new bug) so that the XNA will be aware of your feedback as we plan for future versions of XNA Game Studio and the XNA Framework.