Great Kodu Tutorial
If you're looking for a in-depth, full-service introduction to how world creation and programming work in Kodu, I've got a good one for you:
http://crackedrabbitgaming.com/2009/08/19/kodu-game-lab-full-game-video-tutorial-with-narration-generic-wars/
Covers creating terrain, adding objects, and building a small geometry-wars type battle game.
Cracked rabbit also has another very cool, more specific tutorial (they are doing a great job with these - thanks guys!)
http://crackedrabbitgaming.com/2009/08/19/kodu-game-lab-video-tutorials-3-keys-popcorn-popper/