I've made two videos that should be helpful for XNA development:

The first shows how to deploy with an XBox: 

http://kweaver.us/xboxDeploy/XboxDeploy.html

Used my favorite application -- Camtasia and had a camera on a tripod pointing to the TV.

http://kweaver.us/XNA_Zune/XNA_Zune.html

The Zune video was done with a web cam. 

Both are picture in picture.