How does the proposed Microsoft .NET Gageteer compare to other systems?
You might want to take a look at the Netduino platform . It also uses .NET Micro framework, so you can develop and debug in standard Visual Studio. And it is largely hardware compatible with Arduino accessories, so there are a lot of hardware modules out there that you can connect to it without having to design them from scratch. Not all Arduino shields are compatible, so you may want to check out the list on the forums on the Netduino site.
Low-cost as well ($35 from SparkFun and some other vendors). 

The Netduino Plus has just been released, and it adds onboard Ethernet and microSD, with libraries to drive them. There is also a Netduino Mini, on a small DIP carrier. 

Anyway, if you want something small and cheap that you can use to control hardware and still be able to develop in .NET, take a look.