Microsoft is currently prepping its Xbox Companion app for Windows Phone 7, which will allow you to control and interact with your Xbox 360 right from your phone. And recently, they showed off a bit of what it can do.
In addition to being able to interact with some games, the App will let you search for video and audio content on the Xbox for you to watch. You can sort through the database to find what you want to watch, then choose to play it on your TV via the Xbox. Your phone will then turn into a remote control, letting you play, pause and fast forward.
It's definitely some cool functionality, but it doesn't do all that much that you can't do with your controller while sitting on your couch. But there are certainly lots of possibilities with a phone interacting with a game console, so hopefully we'll see some more creative uses of this connectivity down the line.