XNA is a framework provided by Microsoft. It was originally provided to do game programming. As the framework and target environments expand, it is becoming clearer that the importance of XNA is increasing.
Using the one framework, you were originally able to target either Windows machines or the Xbox. The targets then increased to include support for Microsoft's Zune multimedia player as well as the Surface devices. With the upcoming Windows Phone Series 7 phones, XNA increases its targets yet again.
What does XNA do for you beyond targeting multiple platforms? Using the XNA Studio add-in for Visual Studio, you can create graphical programs relatively easy. You can tap into assets such as pictures and sounds as well as access controls and input devices easily.
I've started taking a closer look at XNA. My first article on XNA, Development with Microsoft Visual Studio 2008 and XNA Game Studio, is now posted on Codeguru. Check it out if you want to see how to freely download and use XNA Studio.