Even though it was thought that eventually the Zune was going to have games and tie into Xbox Live, Microsoft is now saying in a recent interview with TotalVideoGames.com:
“You can already plug your Zune device into your Xbox 360 to stream music, pictures and video content. Looking ahead, the vision for connected entertainment provides a number of consumer scenarios and with our heritage in Xbox and Games For Windows, gaming is certainly something we’re considering for the device.” -Chris Lewis, European Xbox Executive
So nothing solid yet, but since you can already use your Xbox Live Gamertag as your Zune ID, I’m sure in the future there will be the ability to download and purchase Xbox Live Arcade titles either off of the Zune marketplace or off the device itself (once they get the wireless working properly and not just for sharing to other Zunes).
It doesn’t really worry me though, the Zune is not available in my country nor am I really interested in buying one – at the moment my iPod Nano suits me fine.
Full info here.