Simplest setup: your XBee is mounted on a breadboard using a breakout board (Breakout Board for XBee Module - BOB-08276 - SparkFun Electronics or similar). Power is connected to the 3.3V output of the Arduino, and Ground attached to one of the Arduino's ground pins. TX or DOUT on the XBee gets connected to RX on the Arduino. And RX or DIN on the XBee gets connected to TX on the Arduino.
Now Serial.read() should show each byte coming from your receiving XBee.
We've been talking inside Digi about launching a library of XBee examples for innovators. I'd be interested to hear if people are interested in seeing such a thing, and what examples might be most useful to start with.