Windows Live Calendar was just released as a Beta tonight. It features the Wave 2 UI, so it integrates nicely with the other Windows Live services.
The first thing you will notice after the new interface (which is much improved over the older Calendar) is that none of your "Calendar Classic" events will be present. Unfortunately, the integration story doesn't get much better. The Calendar link in Windows Live Hotmail still sends you to the classic Calendar, even if you've selected the new Windows Live Calendar. The new Windows Live Events also aren't integrated.
Despite the lack of integration, I like the direction Windows Live Calendar is taking. Hopefully, the integration story will improve over time.