For the Zune itself you can apply any photo or pic you can store on the Zune. Most photos or backgrounds would have too much contrast or saturation for the software on your PC. I have edited a few of my photos here in Japan and uploaded them to this site: http://www.freewebs.com/zune-vs-ipod/
The guy has a great new site and the traffic would be appreciated. You can find the link to the .exe that lets you patch the software to allow the backgrounds. Let me know if you like them. I'm also willing to play with anyone's photos to create a custom background for them. Just let me know.
No matter where you go, there you are...