Note that for windows, you probably need to use the linux.inf driver (on the Windows side) to get a working RNDIS connection. This driver can be found in the kernel docs, or it's on the last link below too. Assuming it's still needed that is.

With Windows, the easiest thing to do is to bridge the two connections. This take your PC offline, and routes data directly from your real Ethernet connection to the fake Ethernet-over-usb connection.

Well that always used to be the case, but in the last years of the Zaurus (which had to use these techniques as no wifi out-of-the-box) the Windows XP connection sharing wizard used to do the job. Setup so you can ping both ways and the Ethernet-over-usb connection is working, then run the wizard. Hey presto!

For Linux, I'm a bit surprised it doesn't work, unless we're back to the problems of the old days where the gadget driver is broken for our processor...?

You might want to take a look at some of the Zaurus HowTos which were written for Ethernet-over-usb. E.g.
http://wiki.openzaurus.org/HowTos/USB_Networking
http://wiki.openzaurus.org/HowTos/Bridging_with_Gentoo
http://wiki.openzaurus.org/HowTos/Bridging_with_Ubuntu
http://wiki.openzaurus.org/HowTos/US...thout_Bridging

There's lots of info on the old Zaurus OESF forum.
E.g.: http://www.oesf.org/forum/index.php?showtopic=11785