there is actually a whole other thread about importing you own books, but basically all you need to do is sign up for a dropbox account (or other file sharing service) where you can upload any text, epub, xhtml, and i think lit files, that will also give you a direct download link (with dropbox you can shorten it quite a bit). make sure these files do not have any DRM on them. you then go onto the zune reader app and select "add book", type in the url (including the http://)
and away you go. it is quite finicky though, you should try out some of the classics, i found "the art of war" to be quite intriguing. you might be surprised how many books you'll like, especially ancient ones you probably wouldn't buy otherwise.