Nazeeh, a colleague of mine, has posted a great article on his blog that I wanted to link to here.  He provides an in-depth introduction to Zune game development with XNA Game Studio 3.0, with a particular focus on optimizing the game memory footprint to fit within the 16 megabyte limit that is enforced for XNA Framework-based Zune games.

You can find the post at http://www.nazspace.com/wp/2008/09/30/understanding-zune-development/, and it includes the following topics:

• Understanding the Zune device and the limitations it presents for your games (240x320 screen resolution, 2 gigabytes of game data, 16 megabytes of memory at runtime)
• Optimizing and reusing textures
• Minimizing the footprint of audio files used in your games
• What happens under the hood in an XNA Framework game on the Zune
• Using the XNA Framework Remote Performance Monitor (RPM) to debug Zune memory issues

I encourage you to check out this post if you are developing XNA Framework-based games for the Zune or are considering getting started with Zune game development.