Ok. I got it!
Download the Sample
Here is a working example that is pretty simple but does the job. Just launch the app, and if you are lucky enough to have more than one Zune to play with, launch it on the other one a few seconds later, and they will automatically connect.
Pressing the D-Pad will send a string with the Gamertag of the user that clicked the pad, and the direction they clicked. Just a simple illustration; you would want to do it a bit differently in a game.
The code is based primarily off of Adrian Vinca's example posted above, the tank example on the XNA site, some coffee and some of my gray matter.
Please feel free to look through this code, adapt it to your needs, use it in your games etc. Also, if someone finds mistakes or better ways of doing things, please let me know!
Enjoy!
- ionman