While browsing Flickr, I stumbled upon other Zune games developed by XNA games. Jean-Luc David, a Developer Advisor at Microsoft Canada based in Toronto, Ontario has posted shots of zune games running on Zune 80.
There's Marblets (a bubble buster game), the space shooting Zauri, Alien Takeover, and Hexic. On the new Zune devices (Zune 4, 8 and Zune 80) the touchpad can be used. The games is said to be developed also for Zune 30 button interface. Good for first-gen users.
Another Zauri demo in action
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Zune