The XNA Studio beta is now available for
download. The kit will allow you to create your own games. The beta of the kit will allow you to develop games for the PC and the Xbox 360 (if you pony up the money of course). If you're looking for a place to start you might want to check out the
tutorial that's now online as well as this
post on the content pipeline for the XNA framework.
I think for my first game I'm going to create something about an italian plumber and his skinny brother who traipze around a magical world trying to save a princess from some kind of weird turtle monster.