Just released on the Zune App Marketplace: Windows Live Messenger for Zune:
Today a new app for Messenger, one of the most requested apps for the device, was released on the Zune marketplace. The app supports your regular Messenger friends list & chat, as well as a social feed (similar to the desktop client) and Facebook chat.
At the time of writing only a few lucky Zune users can download the app, but it will be made available to all Zune users over the next couple of hours.
You can download it, for free, via the Zune Software on your Zune.