How to send data through XBee using ATMega328?
I think what I am missing is that the XBee's modules must be programmed both to send and to receive data. In the following thread there is someone claiming that acomplished that and posting some code which will run in a ATMega processor:

http://www.arduino.cc/cgi-bin/yabb2/YaBB.pl?num=1223492621/all

I also found a tutorial of how to configure the XBee module using a graphical environment:

http://forums.trossenrobotics.com/tutorials/how-to-diy-128/xbee-basics-3259/

From what I read above, I tested it, and I finally established a connection, then I wrote a tutorial showing how I did it.

http://arduinolessons.blogspot.com/2010/10/how-to-use-xbee-module.html

Unfortunately not all data gets through though...

Since I'm using a XB24-B the following blog gave me some light:

http://lizard43.blogspot.com/2009/04/xbee-series-2-jv-channel-verification.html