For now, you can get Skeletal animation from the Skinning Sample at
http://creators.xna.comPhysics is coming, like Mike said.
A GUI, well that will also be coming, I might do something on that.
and the final request is Particles, there is a simple particle sample in the Samples forum, but i'd also support this request, I wouldn't mind finding out the more advanced formulae for things like Fire/Smoke etc.
Glow will be in my post processing tutorial out this weekend or shortly after.
[EDIT]
For those who read this, my "bloom" will probably be from Kawase's bloom filter, so if you guys wanna read up on that, you can find it on the ATI Developer resource center, or in one of the ShaderX books.
