I've incorporated IronPython into my XNA game on Windows, but, of course, that won't work on the compact framework since the DLR stuff isn't available.
Are there any scripting object implementations available that will work with the compact framework? It's really convenient to be able to tweak the system real-time without having to recompile.
Most things in IronRuby will work on the compact framework (it runs on Windows Phone today).  You may need to deploy the DLR yourself but because it's just an additional library it is possible to run it.  IronPython could be made to work but it'll require some work to avoid doing code generation where it does today which is not possible on the compact framework.
XNA - scripting on XBOX?