So I am investigating building a 3d game in XNA. So far, my main conclusion is that all of the available "engines" are rubbish. Either poorly-documented, feature-lacking, or both. I am used to the relative elegance and acres of documentation of Java3d's Scenegraph, and despite the fact that J3d is lacking a ton of modern features (like, er, shaders), I have actually managed to get something approximately like what I want up and running in it.
This is quite frustrating. In the unlikely event that you have any tips, please contribute.