Benjamin Nitschke posted a fantastic XNA tutorial about skeletal bone animation and skinning using Collada models, which allow for complex animations exported as XML that DirectX .X files can't handle.
I'll leave you with the video showcasing what the demo does:
BTW, Jad Engine 1.1 (which is going to be released in few days) it's going to not only support Collada files, but use them as primary models. Here you can see other new features it has.