<p>My zune just updated to 3.0 (didn't even realize they were releasing something new!) and the update came with two games, but the Zune marketplace does not have games.  </p>

<p>Where do I go to get started, and what are the capabilities of the Zune in terms of games/apps?</p>

Well, first, you must download the Microsoft XNA 3.0 CTP. Read the documentation, which will explain the capabilities. But, from memory:
No hardware accelerated 3d (obviously, you can create a software 3d engine and then render the result to a 2d sprite, but... Don't expect much in terms of performance ;))
No XACT, you must use a new sound API