A lot of XNA games for the Xbox use a number of more sophisticated APIs not available on the Zune. For example, XNA on the Xbox includes 3D, geometric primitives, shaders, and a lot more. Pretty much all XNA can do on the Zune is stick sprites and text on the screen. :/
However, certain games can indeed be converted. As has already been said, one of the major hurdles is adapting to the Zune's screen resolution (320x240) and input capabilities (2 buttons and a D-pad) from the Xbox's screen resolution (often 720p HD and up) and input capabilities (a controller with a ton of buttons, 2 analog sticks, and rumble).
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