I have the same "Learning XNA 3.0" book that Kris and Beeny recommended. I definitely give that one a strong thumbs up for people who want to develop with XNA. It's very complete, and goes into all aspects of a game, including graphics, state management, networking, etc. It's well written with great examples. By the time you're done, the author takes you through a complete game development with all required code.
I also own "Professional XNA Game Programming: For Xbox 360 and Windows" from Wrox publishing. Also a decent book, but I liked the "Learning XNA 3.0" book much better.