I was intrigued enough by this post detailing a means for reading e-books (albeit only asciii text ones) on the Zune to give it a try. YMMV, but I found it to be OK, but nothing to write home about. The software the post recommends converts a plain text file into a series of JPG files, which can then be synced to the Zune.
The results, alas, don't meet my standards. Unfortunately, the conversion software doesn't seem to make any effort to prevent lines breaking in the middle of words, and depending on how the text file is formatted (and the font and font size you choose), leaves lots of dangling words and even letters, making for awkward reading at best.
So as much as I think it's a cool idea, particularly given the vast amount of material available via Project Gutenberg, I don't think I'm going to be reading on the Zune for the time being. Which doesn't bother me a great deal, as I'll still take it with me for tunes while driving...it's become (along with the FM transmitter I use...not as good as I'd like, but works OK in both my cars, as well as in the rental I had on my last trip to Seattle) a must-take gadget for my long drives. I've logged almost 1200 miles over the last week or so, so I've had plenty of time to appreciate having all my tunes with me all the time.