It is possible to put some community made XNA games on your Zune, but it requires that you install some software on your computer first. Games can be downloaded
here. Instructions to put games on your Zune are in the first stickied post.
There is also a way to put Doom on your Zune, but the installation instructions are slightly different because it was made in a different way that is not supported by Microsoft (using OpenZDK). If you are interested, the download is
here, and instructions are
here.