OpenZDK
The OpenZDK is a SDK for writing applications for the Zune and was developed by people going by the usernames itsnotabigtruck, Netrix and Nurta. In contrary to the XNA Framework, the OpenZDK allows far more control over the Zune's hardware, like access to OpenGL ES and other useful libraries.
The OpenZDK works by using a bug in the Shell which allows it to execute arbitrary code outside of the very limited .NET Compact Framework. This code still runs in user mode, and not with elevated privileges. The original authors have created header and library files from Zune specific DLLs like zdksystem.dll by reverse engineering their function signatures, in order to get access to the Zune's API.
Most of the documentation can be access on zunedevwiki.org (use webarchive). I will try to add as much information as possible over time, as the webarchive is painfully slow.