Back when the Zune HD came out one of the things that we lamented was the lack of any type of "jailbreaking" well we have been shown that we have been wrong for some time. It seems that Homebrew for the Zune has been around for some time. It all revolves around the MS XNA Game development platform. There are quite a few games that have been developed for the Zune and Zune HD using this format. However, since there has never been anything like Redsn0w or Blackra1n for the Zune most people are not aware of it.
Gizmodo has an excellent guide for people that want to explore these games and apps. That is if you are not afraid to do a little hands on hacking. We plane to dive into this in the near future to see just how difficult it is. For now you can head over and take a look for yourself.