According to Peter Moore, the Zune will play video games. Which could deceivingly sound like it would play Xbox games since Peter Moore is the chief of all Xbox productions. However, Microsoft states that this feature will not be out until February of next year. Moore said that naturally, the Zune’s large screen would be a better platform for handheld gaming but he didn’t compare or say to which console. And besides, I think the Zune’s screen is a bit smaller then the PSP’s.
So if you have a Zune and you wanna play games on it, you are going to have to wait another year or so.