Okay, I'm late to the party on this one, but I just came across the RSS Screen Saver Starter Kit in both the Visual Studio Express SKUs and VS2005.  Basically, when opening a new project, there is a "Starter Kit" node inside of which is a "Screen Saver" project. This will create everything you need to get started, with decents documentation too! You can get a WinForms Screen Saver up very quickly. 

You can imagine why I'm interested -- time to start cranking out some gnarly Avalon Screen Savers...