People often ask me about GPGPU (General Purpose GPU) programming with F#.
One project you might like to take a look at is Brahma, which lets you compile C# expression trees to the GPU. When combined with the F# Power Pack support for converting F# quotations to LINQ expression trees, this should give a viable technique for using GPUs for computation.
Another route is to use Microsoft Accelerator, an incubation project from Microsoft Research. New functionality includes:
Some samples in F# are on the Accelerator home page, and Tomas Petricek has an excellent guide.