According to the official site, there are five free games available for Zune: Hexic, Texas Hold 'Em, Checkers, Sudoku, and Space Battle. Of course, the site doesn't say how to get the games, but I'm assuming you can download them directly from the Zune marketplace.

To install the games downloaded directly on your Zune:
If you have already updated your Zune device, follow these steps:
1. Connect your Zune device to your computer, and then start the Zune software.
2. Click Settings, click Device, and then click Device Update.
3. Click Install Games.

The Zunerama game directory has a pretty big list of other non-official games, with download links.
http://www.zunerama.com/zune-games-directory.php

Installing games to your Zune that were first downloaded to your PC requires a few more steps. Here's a forum thread that explains how to do it:
http://www.zuneboards.com/forums/download-completed-games/34911-how-install-zune-games.html
Source(s):
http://www.zune.net/en-us/discover/games/default.htm
http://support.microsoft.com/kb/957641?sd=zune

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