UPDATE 2013-06-11: Zeo has shut down, and all sourceforge/myzeo links no longer work. All of the APIs are now available on the OpenYou Github account. For more info, see the Zeo API OpenYou post
I recently obtained a Zeo Sleep Tracker, and was ramping up on reverse engineering it. It's always nice to find out during your first search for that task, that the company themselves released libraries and you don't have to do the work.
The Zeo is basically a low sensor count EEG, similar to the Neurosky headset, except with a much better form factor to sleep with than headphones.
Zeo themselves put out two libraries you can use to access data from the device. There's the data card decoder library, that allows you to access data from the SD card that sleep data is logged to. This is available in a Java library at
http://developers.myzeo.com/data-decoder-library/
There's also an auxiliary serial port on the back, that can be used for real time data acquisition. There's a python library available to do that at
http://sourceforge.net/projects/zeorawdata/
The Zeo picks up a more band-focused signal than Neurosky or Emotiv, since they're just looking for resting versus a full spectrum, but it could be quite interesting nonetheless, especially to relay something like the arduino... Which someone has apparently already done!
This setup allows you to hook the Zeo directly to an arduino development board, which could then be used for setting sleep music, LED firing for lucid dreaming masks, and other sleep based projects.
There's more development information on Zeo's message boards.