If you want to get started on Windows Phone development I strongly recommend that you take a look at the videos from Mix. They are very well presented and easy to view on your PC. There is even an HD version of each one.
http://live.visitmix.com/MIX10/Sessions/CL01 – a good introduction to Windows phone and why it is the way it is
http://live.visitmix.com/MIX10/Sessions/CL13 – a good overview of the windows phone and how you build and deploy applications
http://live.visitmix.com/MIX10/Sessions/CL17 – these two sessions give a very good introduction to Silverlight development on the phone
http://live.visitmix.com/MIX10/Sessions/CL21 – how to use XNA to build games
http://live.visitmix.com/MIX10/Sessions/CL18 – a nice in-depth description of how the phone works internally
You can get the SDK for Windows Phone here.
You can get the first six chapters of the new book from Charles Petzold on Windows Phone development here.
The forums for Windows Phone developers (which are very well staffed with knowledgeable Microsoft moderators) are here.
There is now a Programming Guide for Windows Phone on MSDN which you can find here.