At the end an animated sample from Microsoft comes: XNA Skinned Model Sample.
Dowload it from "Creators Club Online":
More good samples from this link:
I will use this sample to convert my "Dwarf VS Ninja fighting game" project from C#/MDX to XNA: you can see it in second picture.
Last picture shows a shadow map test.
First picture shows the "MD2/MS3D to X converter" (and Mesh Viewer). I wrote it from application wrote by Jim Adams for the "Advanced Animation with DirectX" book. With my extensions it is possible to save, in X file, many AnimationSets from one animation track stored in MD2/MS3D file.