Microsoft XNA Game Studio 3.0 CTP is out today, you can get it from here. With this version you can develop games for Zune.
Microsoft Visual C# 2008 Express Edition or Microsoft Visual Studio 2008 Standard Edition or higher is required to install and run the XNA Game Studio 3.0 CTP. This current CTP does not enable Xbox 360 game development. Only Windows and Zune are supported in this CTP.It will be supported in the final release version.This CTP doesn't work in 64 bit yet.
Check the download link for more details related to hardware requirement. Check http://creators.xna.com/ for samples, tutorials , screencasts to get started. Give it a try, try creating a game for your Zune.
Check the XNA Team Blog for the latest info.