Don't look now, but the MSDN Library features new content focused on Windows Phone 7 application and game development.
Leading things off is an article titled Developing a Windows Phone Application from Start to Finish, which walks through building a complete Windows Phone 7 application and includes a sample application. You'll learn all the basics, including defining your application, adding images, working with data, and ultimately publishing your application on the Windows Phone Marketplace. The article also uses the example of a simple fuel-tracking application to help you master the basics of Silverlight and Windows Phone development.
Also posted to the MSDN Library site is a pair of gaming focused tutorials. The first is Beginning 2D Game Development, a step-by-step guide for creating a 2D space shooter game called Mars Invasion. The project leverages the XNA Game Studio 4.0 gaming libraries and goes into issues like the main game loop, creating graphics, state machines and collision detection.
Finally, the feature titled Building 3D Games for Windows Phone goes into the challenge of creating 3D games for Windows Phone 7. The sample project leads you through developing a three-dimensional maze game, and helps you master creating and transforming objects in three-dimensional space. Also included is an overview of how culling (also known as backface removal) lets XNA draw closed solids more efficiently.