A while ago a big hoopla was made over Microsoft's public release of XNA Game Studio Express. It was made out to be an easy-to-use development tool for making games for the Xbox 360. We even covered the initial announcement under the title "Make Your Own Next Gen Games!".
This dreamy land of game making goodness may be coming, but it's still a while off. The current XNA beta takes a fair amount of technical expertise to install and configure, and it only supports Windows game development. However, the most glaring problem with the beta is that it does not include the XNA Framework Content Pipeline feature. That means you can't create data in your favourite 3D modelling program (like Maya or 3D Studio MAX) and import it into your game! So you'll just have to hold out for a little while before making anything more complex than casual games with simple graphics.
So what are hobbyist game developers to do? Write their own file importer? No! It's Sony to the rescue! Sort of... okay, it's a Microsoft employee leveraging something that Sony started.. I should explain. COLLADA is an open file format for digital assets (ie. all that stuff in a video game) with plugins for all major content creation tools. It was created by Sony back in 2004. Clearly with the intent that this file format would aid game development for the PSP and Playstation 3. Well, in the absence of an XNA importer, a Microsoft employee has written a COLLADA file importer to get models from his modelling program (the open source program Blender incidentally) into his XNA program.
In regards to the XNA Framework Content Pipeline, judging from this post on the XNA Team Blog, it looks like it will be great when it comes out. For now, rest assured that you can use the file format Sony started, COLLADA.