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