Now that XNA update for Zune HD has been released. If you interested in developing applications for Zune, here is what you have to do

1. Get the  Visual Studio C# express and XNA Games Studio3.0 

2. Get the Zune HD update for XNA Games Studio

3.  Get yourself an Zune HD [ Amazon, Best Buy and prices from around the web]

4.  To Connect your Zune HD and have it recognized by the Games studio follow the instructions here

5. Resources that can be useful

• General XNA FAQ:
• XNA Team Blog
• Good Books on Zune/XNA  game development
  • Zune Game development using XNA
  • Learning XNA 3.0: XNA 3.0 Game Development for the PC, Xbox 360, and Zune
• Some forums to discuss app development and other issues: Zunerama

If you find more resources, steps provide them as comments and I will update the post to include them.