Actually from a developper's point of view the Option 1 is by far the best.
Let me explain :
Since the Zune is a portable device and the battery life when playing a game is very important (you don't want the game to drain out your battery after 40 minutes), we need to develop games that only uses RAM, no hard disk reading/writing except for really important things because that is what kills the HD (also with the fact that the screen is always on but we can't do anything for that).
Since we need to put all of the game into the RAM when loading up the game, it will take more time when you start up the game, but it will never need to access the HD again when loading new levels, areas, etc. so it will be very fast in-game.
If you were to let the game load textures/sounds/whatever in-game at everytime you need to access them, and unload them after, you would end up with a battery killer.
So if you see a game that takes a lot of time to load but then there is no waiting for as long as you play, tell yourself that the developper actually wanted you to have a long lasting battery
(Oh yeah, for those of you who are code-savvy and looked at my Pong game's code, it does kill the battery a little

This issue will be fixed in my next version

)