There's a new XNA sample I've posted on XNADevelopment.com that demonstrates a method of detecting collisions between 2D rotated rectangles. I'm hoping to someday build a tutorial around this (maybe if I get enough requests for one!) but for now I've just made the source code available. I commented the code fairly thoroughly and made some attempt to write the code as readable as possible. It may be with those efforts that the sample will work well enough for most people without an accompanying tutorial.
I hope it's useful! As always, I welcome any feedback anybody might have and I hope this is useful to the XNA community.