Development of shaders in XNA (which obviously uses DirectX) requires knowledge of HLSL or shader assembly. I'd recommend getting familiar with the former before diving into the latter.
Before writing any shaders, it's a good idea to get solid understanding of the shader pipeline, and attempt to get your mind around what is possible when using programmable shaders. When you're familiar with the life of a pixel (from source data all the way through to the screen) then understanding examples of shaders becomes a lot easier.
Next make an attempt to write your own HLSL which does what the Fixed T&L pipeline used to do, just to get you hands dirty. This is the equivalent of a "hello world" program in vertex/pixel shader world. When you're able to do that and you understand what you've written you're ready to go onto the more fun stuff.
As a next step you might want to simulate basic sepcular lighting in one of your shaders from a single light source. You can then adapt this down the track to use multiple lights. Play with colours, and movement of lights. This will help get familiar with the use of shader constants as well.
When you have a couple of basic shaders together, you should attempt to make it so that your game/engine uses multiple/different shaders on different objects. Start adding some other bits like basic bump or normal maps.
When you get to this stage, the world is your oyster. You can start diving into some funky effectcs, and even consider using the GPU for more than it was originally intended.
For those who are a little more advanced, there are a couple of good books that are available for free online which have some great information from Nvidia here and here.
Don't forget that there's an excellent series of books called ShaderX which covers some awesome shader stuff. There's 1, 2, 3, 4, 5 and 6 already in print, and 7 is coming soon.
Good luck. If you get some shaders going, I'd love to see them :)