It looks like there are some new apps for the Zune HD. The first one came out last month and is a Metronome app which does exactly as you would expect a Metronome to do and it ticks away with audio via the headphones.
The other app was released yesterday and is a bit more useful and that is a Windows Live Messenger app. I gave this a quick test today and it works well, you can sign in a chat with your friends and see their status via the social view. I expect this is the the app that is going to be available for the new Windows Phone 7 and it looks great.
The problem with apps on the Zune HD is that apps can take some time to load, Messenger takes about 10 seconds which isn’t that bad and I expect on a Windows Phone is much faster
Both apps are free from the Zune Marketplace