Microsoft has announced games for the Zune will soon be available. The games are currently only going to be developed by XNA Studio developers.Details are very sparse right now, the only thing we really know is that the games will be available soon, right now we are unsure as to whether or not games will be supported by the first generation Zune but there are some hints that point to the developers having the ability to decide for themselves if they want to develop support for the first generation Zune.
I would assume that games would be distributed just like how Apple is distributing them which for the Zune would mean you would purchase them from the Zune market place.
The first beta development tools will be available in the spring. For those of you who want to check out some pictures of the games Engadget has galleries here and here.