Frank Savage demonstrates XNA on Channel 9: Looking at XNA - Part Two. One of the coolest things is watching him setting a breakpoint within Visual Studio 2005 whilst debugging a game running on an Xbox 360. It is also cool to see the demo game that comes with XNA Studio runs at 1080p. All of this from managed DirectX running on the .NET Compact Framework (the Compact version runs on the Xbox 360) running on an Xbox 360 (and only using a single core of the three available).
Note that XNA Game Studio Express will require Visual Studio 2005 Service Pack 1 and Visual Studio 2005 SP1 Update for Windows Vista to be applied to Visual C# Express if Xbox 360 games are to be developed on Windows Vista. (See the XNA Team Blog and "Soma" Somasegar's Blog for more information.)