I'm going to risk the wrath of EULA breaking, because I feel it's information that is quite useful to people, plus, I don't think it actually breaks the EULA anyway since it's benchmarking hardware and not (particularly) the .Net Framework itself.
In some Vector Addition/Multiplication/Division tests someone ran on #xna last night for me, it performed about 40 times slower than my desktop PC. However, my CPU is a Q6600 running at 3.5Ghz (rather than 2.4) so halving that would probably be fair for a typical desktop CPU, 20 times slower. Bear in mind that the 360 runs about 7-8 times slower, I think the Zune is holding its own pretty well against the 360, then again, we know the JIT on the 360 is a long way from perfect.
At 20 times slower, by my artificial measurements, it should still be capable of some pretty good stuff, we'll just have to wait for Shawn to run an "Optimising Code for Zune" presentation at GDC/Gamefest/etc. :)