Going to simply quote Zune Insider considering theres not much to go into about this topic:

Hey folks!

We just this week released a couple of new features, and would love you to check them out!

First, we responded to one of your common requests – How can I change my Zune Tag? Until now, the only way to change a tag has been through Xbox Live – you had to have a console! So while that worked for our gamer Zune friends, it didn’t work for everyone.

Now, you can go to “my account” and under “Account Information” you’ll see the option to “Change Zune Tag.” It will cost 800 points, just as it does on Xbox Live.

Our second feature was another user request, also. We have often been asked how users can connect with other Windows Live contacts of theirs who are also Zune members – especially if they don’t know their Zune Tag. Now, on your “my social” page we show you if any of your Windows Live contacts are on Zune. If you have such contacts, you’ll see their tile and Zune Tag, and name and location if they’ve filled that out. There will also be a link to “more of your Windows Live contacts on Zune” – I was pleasantly surprised at how many contacts I had who have Zune accounts but weren’t my Zune friends before.

Check ‘em out, and let me know what you think!