UPDATE: You can find my post about KMDF debugging videos at http://blogs.msdn.com/iliast/archive/2009/09/22/kmdf-debugging-videos.aspx
A while back I had written that we didn't have any videos, where we talk about UMDF (KMDF seems to get all the glory :P). Well, now we do!
My teammate, Abhishek, has created a series of tutorials that describe how to debug UMDF drivers. They can be found at http://www.microsoft.com/whdc/devtools/debugging/umdftraining.mspx. I've been through all the videos a few times and I think that they are very helpful and present some very nice tricks. I suggest that you install a UMDF driver and go through the same tasks that Abhishek is describing, in order to understand the tutorials better.
Feel free to give me any feedback (or any thank-you comments) that you want me to tell Abhishek :)