I had the opportunity to give a presentation on developing WP7 XNA games at a Microsoft DevCares event ealier this year.  At the same event an associate of mine, Rich Shoenrock, presented this walk-through.  Pull up the PDF, download the source files, and have fun.  Its a great way to get started with WP7, so check it out!

Developing Applications for Windows Phone 7 Using Silverlight