Windows Phone 7 Jump Start Training 12 videos with close to 10 hours of hands on training. I’ve gone through the first two. Very accessible so far.
Programming Windows Phone 7 by Charles Petzold. This guy has been writing Windows programming books since day one. This is a free preview version of his new WP7 book.
C# Yellow Book by Rob Miles, one of the trainers in the Jump Start series above. The basics on C Sharp.
Channel 9 The MSDN developer portal. All kinds of Win Dev stuff including WP7.
XNA Creators Club Hard core XNA dev. Tons and tons of tutorials, articles, sample code, etc. Plus forums, and peer game review kind of stuff.