My colleague Michael Klucher posted a great introduction to the new video playback feature that is coming in XNA Game Studio 3.1 that I wanted to link to here as well.  He covers the following topics:

• Introduction – what will you be able to do and what won’t you be able to do with video playback in XNA Game Studio 3.1?
• What video formats are supported?
• How to import a video into your XNA Game Studio 3.1 project in Visual Studio
• Sample code to show how to load a video, start and stop playback and draw the frames

I encourage you to check out his blog post at http://klucher.com/blog/video-support-in-xna-game-studio-3-1/ for more detailed information about how to use video playback functionality in the upcoming release of XNA Game Studio 3.1.