I wasn't quite sure where to put this given that the Zune is a Windows CE device and XNA is mutually exclusive to Windows Mobile. My final decision was to put this on my general development blog and post a link to it here. This weekend I decided to write a Hello World program for my Zune and document the steps I took. Overall I found XNA to be easy to use and plan to play with it some more (could not do much this weekend on account of having too much stuff to do from work and around the house). You can see what I did here. There's nothing much to see visually but if I continue to program for it the instructions here will server as part of a much larger article.