Following the example on msdn (http://msdn.microsoft.com/en-us/library/bb197293.aspx) I created a Phone Application with XNA that display a rotating 3D ship.
This took me about 10 seconds, and it was pretty easy to do, but what about creating my own 3D model? Looks like XNA support just Autodesk FBX as 3D model (let me know if I’m wrong), and the simplest tool I know to design 3D objects, Google SketchUp (http://sketchup.google.com/) does not support it. I binged on google and googled on bing, but I could not find a free software to convert COLLADA .dae files (the only format you can export to using the free SketchUp) to Autodesk .fbx.
There should be a free FBX Converter tool (http://usa.autodesk.com/adsk/servlet/pc/index?siteID=123112&id=6839916) but I could not find the correct link to download it.
In the end, I installed Google SketchUp Pro 7 Beta, created my model and converted into a nice and supported fbx file.
You can download the project from here (http://cid-a117aa5e007a0648.skydrive.live.com/self.aspx/Windows%20Mobile%207%20Examples/WindowsPhone3DGame.rar) and see a screenshot of SketchUp and my phone app below.