If you are on Live! Arcade (with the "pro" libraries), you get Live! scoreboards and matchmaking. It turns out that you can use those APIs to store things like levels and skills. In base XNA, though, you cannot, unless you use Windows-only methods.
The other problem on Windows is that you can't trust the PC, because people will cheat, so you have to have a trusted server involved in the gaming.
Jon Watte, Direct3D MVP
kW X-port 3ds Max .X exporter
kW Animation source code