When I installed XNA yesterday I took note of the license which forbids anything done with it for the 360 being used for Commercial purposes. I can't remember the exact wording, but basically it's all free for Windows - you can develop, distribute, sell - whatever. The 360 licence is more restrictive. A quote from the official FAQ:
"Q: Can I use the XNA Game Studio Express or XNA Framework to build a commercial Xbox 360 game?
A: XNA Game Studio Express lets you create Windows and now Xbox 360 console games much more easily. These games are limited to non-commercial scenarios for 360 titles created with XNA Game Studio Express. However, XNA Game Studio Express may be used to create commercial games which target Windows. We plan to release XNA Game Studio Professional next year which will allow developers to create commercial games for the Xbox 360 in addition to Windows."
http://msdn2.microsoft.com/en-us/xna/aa937793.aspx
"Q: Can I use the XNA Game Studio Express or XNA Framework to build a commercial Xbox 360 game?
A: XNA Game Studio Express lets you create Windows and now Xbox 360 console games much more easily. These games are limited to non-commercial scenarios for 360 titles created with XNA Game Studio Express. However, XNA Game Studio Express may be used to create commercial games which target Windows. We plan to release XNA Game Studio Professional next year which will allow developers to create commercial games for the Xbox 360 in addition to Windows."
http://msdn2.microsoft.com/en-us/xna/aa937793.aspx