It sounds like you're talking about deferred rendering. What's important to know with deferred rendering is that it's merely a different way reorganizing the lighting pipeline so that you get a different set of benefits and drawbacks. So in other words...it's not a magic "fix" for any problem, it's a tradeoff that could make certain things perform better while also making other things perform worse.
These are the main benefits:
-Can simply parts of your lighting pipeline. You rendering will (primarily) be split into two parts: rendering geometry to a G-Buffer, and then rendering your lighting pass. Since you no longer have to manage what lighting is associated with which geometry
-Usually you can improve batching since your G-Buffer shaders will be simpler, and you don't have lighting to worry about
-You only apply lighting to visible pixels (if you use proper optimizations)
-Lighting cost becomes tied to the number of pixels shaded, not to the number of meshes affected by a light source
-Generally coherent memory access patterns, which are good for a GPU
-Shadow maps become much easier to implement, since lighting is done in a separate pass
-Can use "lazy shadowmap generation", which lets you re-use shadowmaps to save memory
-No hard limit on the number of lights due to shader constants or instruction limits
These are the main drawbacks:
-Can't handle alpha-blending without D3D10-level techniques. This generally means you have to a standard forward-rendering pass for alpha-blended geometry, which can somewhat cancel out the "simplified pipeline" benefits
-Can't use multisample anti-aliasing without D3D10-level techniques. Supersampling is a (very expensive) option.
-Generally increases bandwidth usage across the board due to laying out the multiple G-Buffer render targets, and sampling them in the lighting pass
-Optimization requires minimizing the amount of pixels shaded in the lighting pass, which generally requires use of the depth buffer and stencil buffer. Unfortunately in XNA the depth buffer is cleared whenever render targets are switched (to maintain consistency with the Xbox 360), which means the depth buffer must be manually restored whenever it's needed.
-In XNA there's no way to use the device depth buffer as a texture, which means depth has to be rendered to a standard color texture.
-Much harder to to multiple materials and lighting models, since you're limited to what material properties you can store in the G-Buffer. Some engines will store a material index in the G-Buffer, and use that to branch in the lighting pixel shader or look up more material properties from a lookup texture.
If you're trying to decide whether a deferred renderer is a good approach, you should weigh these pro's and con's in the context of the kinds of scenes you're going to be doing. Generally a deferred shader is a big win in scenario's where you have many small lights scattered throughout the scene. It's generally less useful for large outdoor scenes where you only have have one main light source. If you are interested, you should check out some of these resources:
Deferred Shading presentation by Shawn Hargreaves
Deferred Shading presentation by Nvidia
Deferred Shading tutorial
Nvidia Deferred Shading tutorial
Deferred Shading in XNA by Catalin Zima
Keep in mind that most of these deal with "pure" deferred shading, where you lay out a G-Buffer then do a lighting pass. There's actually many ways to mix it up...for instance in my game I do a forward lighting pass for the sun and large light sources, and then do a deferred pass for smaller point lights using just depth and normal information. Wolfgang Engel's
light prepass renderer is another interesting approach. Or you can even just
defer your shadow maps if you want.
As for shadow maps vs. stencil shadows...my humble opinion is that these days shadow volumes generally aren't worth it. They're generally less flexible, and don't scale well with geometric complexity. It's also harder to make them look as good as shadow maps. While it's true you have to do multiple passes if you're using a cubemap for a point light, this usually isn't too big of a deal as long as you're culling agressively. As for directionally lights, there's some great techniques available for optimizing shadow map texel distribution. IMO Parallel-Split Shadow Maps produce the best results.