XNA is a wonderful thing, and what makes it even more wonderful is that it is supported on the Zune. All you need is a Zune updated to the latest OS, and the beta of Game Studio 3.0 (and Visual Studio C# Express or better). In next to no time I was able to get a quick demo up and running, using SpriteBatch to both draw the tiled, multi-directional scrolling background, and draw the various player sprites. This all runs at 30 frames a second, which is nice and fast - fast enough for just about any 2D game you would care to throw at it.
I'm not sure this graphic masterpiece will ever be seen in public (the goats! somebody think of the goats!) but suffice to say I'm happy to have proven to myself that the Zune makes a pretty nifty game platform. It's so nice to write games software and be able to focus on the game itself, rather than fighting with all the graphic drawing stuff. Unlike some other mobile devices I would mention, the Zune has hardware buttons that are a little better suited to some games - and their state is easy to read from within the XNA application.