Integrating you customer facing site to CRM Live is valuable addition to fine tuning your business process. This will allow you to capture real time customer questions, inquiries, etc into your CRM process.
I've created a simple web application using ASP.net to connect to MSCRM Live and to input a lead. The application requires the user to enter their Live ID and password. In a real life usage you would probably embed this in some format. I chose to prompt for it to allow multiple orgs to test it without having to make any code changes. The application also shows how to authenticate using Windows Live to CRM Live.
Here's the link to the SDK. It has great documentation and has a sample that I based my web-lead sample from.
Here's the link to the my sample application. It's on my SkyDrive in Windows Live. The app is in a zip file and was built with Visual Studio 2008