Dan and I wrote several WhitePapers for the .NETCF team. The third was released back in December and I just found out this week. It is titled Developing Well Performing .NET Compact Framework Applications.
I also heard from many this week that our P/Invoke papers are referenced by many including presentations and other white papers on MSDN. Those are:
Updated: URL of Article
These papers are located on the MSDN Embedded Application Developer Center, which is one of the top resources for .NETCF development.