Microsoft just announced that the XNA Game Studio, the user-created games program for the Xbox 360 is coming for the Zune. The demo shown at Game Developer's Conference shows a person controlling the game with the Zune pad, pausing the game, going out and switching music on the Zune, then going back into the game. Very neat.
In addition, since the Zune has Wi-Fi, you can also do multiplayer games as well! You'll be able to multiplay from Windows to Xbox to Zune, which means that you might be able to develop one game for three platforms (with slight tweaks for each) that people can play with each other. Definitely cool. Check out Kotaku for more GDC coverage. [Kotaku and Kotaku]