If you want to use animated 3d models in XNA there's the excellent skinning sample made available by the XNA team with a content processing pipeline and a built-in effect that handles almost everything for you; bones, materials, lighting, you name it.
The only unfortunate part is that you can't easily extend the functionality of this framework without reimplementing it from scratch. Even starting from their released production code involves a lot of busywork and trying to parse their HLSL, which is vague and convoluted enough to be very difficult for HLSL beginners.
That's why, after doing it myself, I wrote a tutorial on using SkinnedEffect with custom shaders. The
post on my blog outlines how to create your own CustomSkinnedEffect which can be loaded by supplying it any normal Effect as a base (which makes it easy to subclass) and how to extend the HLSL so you have two tidy files with all the shared vertex and pixel shader code inside them for easy editing.
Comes complete with a
download of an edited version of the skinning sample which uses CustomSkinnedEffect.