On one hand, we have Visual Studio, a built in phone emulator, the .Net platform and excellent documentation/tutorials. It's almost stupid how easily you can create fairly advanced "form based" applications with WPF. Games are fairly straightforward with XNA. The build in emulator works with VS like a dream, dropping in and out of breakpoints, etc.
I could gush all day about the development environment.
However, App Hub (the place to actually publish your app) is an absolute nightmare. Built entirely in Silverlight, it is buggy, clunky and unintuitive. There is basically zero documentation, descriptions are vague or just wrong. Stats about your app are at least a week delayed and are not detailed. You can only see reviews for your app in your local market (e.g. US market). My app has a few reviews from England, but I have to use a third party tool to view them.
I could rant all day about App Hub.