XNA is a game engine (more advanced than managed DirectX 1.1) that will allow the creation of games for windows XP SP2 (only) and XBOX 360 (in future versions).
It's based in the Microsoft .Net framework 2.0 so it will be compatible only with .net applications (I don't know if someone has made a wraper to let BlitzMax interact with .net class-dlls). For what I see in the documentation it is only a beta version of an incomplete piece of software. Haven't tried it yet, but it anounces more or less the same graphical funtionality that Max3D is supoused to suport -acording to Mark's worklog-. Anyway it seems XNA works in a very low level, and, in addition, you need Microsoft C# to develop using XNA.
First, XNA is not a game engine. Its a framework. Its more comparable to Blitzmax than any sort of real game engine (which is not a correct comparison in the first place). Second, I've been using XNA since it came out in beta and I have to say its really great. In 3D I can probably agree that XNA works on a bit of a lower level (most if not all 3D rendering has be done with shaders if i remember correctly), but for 2D I don't see it any more complex than blitzmax. Add in an *awesome* IDE and it becomes much more enjoyable to code with C#. I was able to develop a quickie multiplayer game in XNA in about 2 days (couple hours each day) as opposed to blitzmax, which took me something around a week or so to get the same results. Definitely worth a look for those that have an open mind to learning new things/langauges.