I did a quick search to see if this had already been mentioned in these forums but didn't find anything, so I thought I'd share this for those who haven't seen it.
Head on over to the link below to what looks like a very good free PDF eBook on improving NET performance which should also help you with your XNA development.
http://msdn.microsoft.com/en-us/library/ms998530.aspx
I'm fairly new to .NET and XNA programming but from what I've read so far, this is a great free resource worth downloading and weighs in at a hefty 1103 pages!
As well as the 'Improving Managed Code' section that should appeal to all XNA devs, this useful tome also covers performance topics covering XML, ASP.NET, SQL, Interop, Web Servies, ADO.NET and more, at the very least making it a must-have reference for any .NET coder's desk.