Zune only has one CPU, so it's not like there is any extra hardware power waiting to run your second thread. A program using multiple threads can at most perform the same as one that just has one thread: in practice it will usually be slower due to the overhead of thread switching and synchronization.
On single processor machines, thread can still be useful if you have tasks that you want to run asynchronously from each other (for instance updating a progress animation at the same time as you are loading content), but you shouldn't expect to gain performance from threading.
Those thread exit messages are most likely caused by the garbage collector thread. This will exit each time the GC finishes a collection.
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