The best way to get started (IMHO) is to go through the tutorial at . While many folks who have gone through the tutorial have pointed out that it is outdated and not applicable to XNA 2.0 it is an excellent starting point for people who are just entering game development.

I will post more findings as i go through the tutorial. I wish that Microsoft update this tutorial to work with game studio 2.0 and 3.0 which is due soon.