Just in case there is anyone who reads this who hasn't already read all about this over at the Creators Club site. The next version of XNA Game Studio will include support for Zune devices, including creating multi-player games that work over wireless.
There is a preview release planned for release in spring 2008 and the final version 3.0 release should happen sometime around the end of the year (just the same as versions 1.0 and 2.0 then).
I've never really considered a Zune player, I was given an IPod a couple of years ago and have stuck with it, despite my loathing for being forced to use ITunes. I just want my MP3 player to appear as a removable device that I can copy MP3 files to - simple, easy and works from any computer. It looks like the Zune also requires Zune software to manage media files but at least it supports syncing from multiple computers, something ITunes handles terribly.