Here are some Zune wallpapers you can use, including a couple of ZunePH ones. The images are 240x320, the exact resolution of the Zune30 only (for Zune80/120, check this link).
Top: Left to Right (Right click and "save target as" )
Wallpaper 1, Wallpaper 2, Wallpaper 3
Bottom: Left to Right (Right click and "save target as" )
Wallpaper 4, Wallpaper 5, Wallpaper 6
UPDATE! For the newer wallpapers compatible with Zune30 and Zune80/120, check out the Wallpaper Section, thanks!