Here are some excellent links for anyone developing for Windows Phone 7:

• J.D. Meier’s Windows Phone Developer Guidance Map – this is immense.  Also check out the Silverlight version
• Justin Angel’s site – some really great articles on unlocked roms, automation and Continuous Integration
• Windows Phone 7 Development Best Practices Wiki
• Jeff Blankenburg’s 31 days of Windows Phone 7
• This post of Links to sample code for Windows Phone
• Tim Heuers blog, particularly this post of Tips and Tricks
• Kevin Marshall's blog, particularly the epic WP7 Development Tips Part 1 post
• Code Samples for Windows Phone on MSDN
• If you have unlocked your phone for development, then you can use the WPConnect tool to connect to the device rather than using the Zune client.  I found it useful to pin a shortcut to WPConnect in my Start Menu.
• The Performance Counters displayed when you debug your app on a device are useful for seeing things like frame rate and memory usage, this page on MSDN explains what the numbers mean.  Jeff Blankenburg covers this in more details on his blog
• I also came across this set of links to tutorials recently which looks very useful.
• Creating Windows Phone 7 Application and Marketplace Icons: http://expression.microsoft.com/en-us/gg317447.aspx