Microsoft have released XNA Game Studio Express 1.0. This is a platform for developing managed DirectX applications targeted at PCs and X-Box 360s. The development environment is based on the Visual C# Express edition that Microsoft released earlier this year.
In order to develop for the X-Box 360 you have to join the Creators's Club at $100 per year. You are not allowed to use it for commercial development on the X-Box 360, but you can for targeting Windows. For commercial development on X-Box 360 there will be an XNA Professional version released some point next year.
Currently Windows Vista and Server 2003 are unsupported, but then again Visual Studio 2005 is unsupported on Vista so it is no surprise.
Certainly the quality of Microsoft's development tools is pretty good of late, and they are giving a lot of applications away. All of the Express Editions of the Visual Studio.NET are definitely worth checking out for development and provide a fast way to get up and running.