Don't panic! Usually these issues are very easy to fix: 

1-Zune software isn't installed or wrong version:

Usually if this is the case, when you plug your phone's USB cable, Windows won't recognize it. Check if your Zune software is 04.07.1404.00 or above that.

2-Zune software detects the phone but it says it can't connect to it:

Look at windows device manager. If you find an "unknown device", right-click on it and try updating the driver. If this relates to Windows Phone 7, the driver can be found online and will be automatically downloaded.

3-Zune software detects my phone but I can't deploy my XAP from Visual Studio:

Remember you first need to register it using the "Windows Phone Developer Registration tool" (Start menu/Windows Phone Developer Tools).

4-Trying to use the Windows Phone Developer Registration Tool but doesn't connect to my Windows Phone 7:

Again, check the items 1 and 2. You need the right version of the Zune software and the USB driver must be right. Also remember the phone must be on and unlocked (the screen must not be asking for the password or off).

5-Windows Phone Developer Registration tool detects my phone but doesn't proceed after I put my Live ID information:

Likely scenario is that your Live ID isn't configured as a developer on http://create.msdn.com

Also check if there isn't a firewall blocking your internet access.

6-Visual Studio says I've reached an application limit and can't deploy my app:

There is a limit for how many apps you can sideload as a developer to a single device. If you reach this limit, just uninstall one of these apps from your phone and try again.

7-I don't have the source code, just the XAP and I need to sideload on my testing windows phone 7. How can I do it?

If you did install and configure everything as mentioned in the previous items, you can use the "Application Deployment" tool on Start Menu/Windows Phone  Development Tools.

8-My application runs fine on the emulator but when I run it on the device, it shuts down suddenly without any warnings. Why's that happening?

The most likely scenario is memory. Keep in mind the OS will shut down your app if it doesn't handle memory very well. Monitor when debugging and check the RAM usage. See if you are freeing up memory accordingly. Second most likely scenario is a .Net Exception not being handled. Try debugging it.

9-My application can't play any mp3 files. When I try it, it just fails:

Disconnect your phone from Zune. If it is connected, it won't play. Also check if the audio file is DRMed.

10-When my application uses the XNA library's media player to play a background music, it just quits unexpectedly:

If you build a Silverlight app and try to use XNA to play an audio file, you have to consider a few things. First, you'll have to deal with XNA's FrameworkDispatcher.Update method, like mentioned in this article: http://www.silverlightshow.net/items/Exploring-Silverlight-XNA-integration-on-Windows-Phone-7.aspx

Second, there are differences between DRMed and non DRMed songs. As a guideline, always call your play method within a try catch block and show a message to the user if you can't play the song explaining what is going on. Your application probably won't pass the certification if you don't do that!

Hope that helps :)