One of my concerns with XNA was that I could not find in which order it’s inner methods are called. As you may be interested or aware, XNA has some inner method calls, like Initialize for its Game component and so on. Even though I’m still struggling to understand the secrets behind most of it, I found this blog post to be very useful. It’s from a very kind and cool person named Nick Gravelyn which I recently discovered via their boards who also published some nice tutorials on the subject.
If you don’t want to read the post, just take a look at the diagram here: