Breaking Changes in XNA 4.0

A longer version here

Replaced StorageContainer.TitleLocation with a new OpenStream API
Replaced individual graphics renderstates with a new state objects API
Premultiplied alpha is now enabled by default
Made it easier to use SpriteBatch with custom renderstates and custom shaders
No more SpriteBatch vertex shader magic, so you can easily position SpriteBatch text in a 3D world using BasicEffect
Vertex buffers are now strongly typed, each one having an associated VertexDeclaration
You no longer need to specify a VertexDeclaration before drawing, because this is implicit in your choice of vertex buffer
Vertex buffer sizes are now specified as number of vertices rather than bytes
Replaced GraphicsDevice.Vertices with a new SetVertexBuffer API
Each rendertarget now has an associated depth buffer: no more DepthStencilBuffer type
RenderTarget2D now inherits Texture2D: no more GetTexture method
SetRenderTarget atomically sets all rendertargets, rather than changing just one layer
Replaced Effect.Begin and End with a new EffectPass.Apply method
Removed the low level shader APIs (VertexShader, PixelShader, Set*ShaderConstant)
Removed EffectPool, StateBlock, GammaRamp, ClipPlane
Removed triangle fans
Removed point sprites
Changed the Color type from BGRA to RGBA byte ordering