No, but you can buy a select bunch of games from the Xbox Live Marketplace, including Halo: Combat Evolved and Psychonauts.
And, No, but you can plug your Zune into your 360 through your Sync Cable and listen to it at any time while playing a game, or browsing the dashboard. Alternatively, you can choose to stream your music and videos from your computer to your 360 while they are on the same network. It's quite simple, and saves Hard Drive space on your 360 for those awesome Demos
EDIT: I was more complete though, Dizzy.