Download Windows Phone and Silverlight Training Kits
Channel 9 is offering these training kits that include several hands on labs, whitepapers and other tools to help you starting building applications.

Build Windows Phone Applications with Silverlight
Watch this 2 part video series from MIX10 that provide an overview of the functionality for Silverlight applications that is unique to the Windows Phone application platform. Learn about new input paradigms, APIs for phone applications, new Windows Phone web services and much more! Also, check out the keynotes and other sessions available on the MIX10 website.