As a matter of fact I do have some experience with exporting a character to XNA. I'm currently using the XNAnimation library (Depending on which version of the XNA Game Studio you have you may need to recompile this library). Once you have a model rigged and animated, you will need to export the model with all of the skinning as well as the
full bone structure as a .x (the DirectX format) or .FBX (The autodesk format). Then import your model assets into XNA Game Studio. Then use the XNAnimation library to render and animate your model.
Of course my above blurb is a dramatic oversimplification of the process. Here is the link for the XNAnimation site:
http://www.codeplex.com/xnanimationThere's isn't a terrible amount of documentation unfortunately. Most of my knowledge came from looking thru the source code. There's also a good sample of coding the animations on the creator's club site (I believe it's under Education somewhere). Hope that helps.