XNA is great and all, but it forces too many things (like the stupid Content paradigm) down my throat which I cannot stand. That, and up until very recently it lacked some pretty essential things.
That aside, the .NET Framework's RAD abilities make it a very attractive tools language, so while most Game Engines (At least Rendering Engines) use an unmanaged language, an increasing number of tools are being written using a .NET Language.
However, these are just small things in .NET and C#, the language itself is an absolute joy to use. The elagance and purity of the language is what wins me over.