A preview of the WinFX SDK was released last week, and Dominic Cooney has used F# to show how to write a little hello-world Avalon application. It's also available on the F# Wiki page under Code Snippets.
As an aside, Dominic notes the following: I'm using F# 220.127.116.11. When you compile, fsc goes looking for fslib20b2.dll. I just added --cli-version 2.0b1 to the compiler command line options and everything works (so far! I think there have been some changes to collections. I haven't run into any problems yet, though.)
This trick will let you write F# applications that run on the "community" versions of .NET 2.0 available since the Beta 1. As Dominic says there have been some changes to the BCL since Beta1, and it is a possibile you will hit problems, though only if you use the collection conversion functions like List.to_ICollection and friends. The next version of F# will be released hot on the heels of the official release of the .NET 2.0 Beta2, and the libraries will have been updated to account for the changes to collections.