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demo's and tricks
see the demo projects for example and demonstrations how to set up typical dynamic website scenario's such as manage session data, access a database, process file uploads...
debugging

an xxm project is still a Delphi project, so you can open the project's dpr in Delphi, just remember to edit the xxm and xxmi files, and not the pas files directly (unless for temporary debugging behaviour).

If you select xxmHttp.exe as host process, use a browser to navigate to a local URL that loads your project.

When you're using xxmLocal (or xxmLocalDev), set the host application to Internet Explorer (typically C:\Program Files\Internet Explorer\iexplore.exe), optionally with an "xxm://" URL to open your project.

(Update: to force IE8 to run in a single process, see TabProcGrowth)

When you're using xxmIsapiEx (or xxmIsapiDev) on your local IIS, switch IIS into stand-alone mode and use inetinfo.exe as host application, or create a virtual directory with high isolation (IIS 7: in an application pool of it's own), and use %SystemRoot%\system32\dllhost.exe /ProcessID:{AppID} with the AppID you can pick up from the properties of the COM+ application in the 'Component Services' administrative tool.
See also here.

skip the handler
while it is strongly advised to use the development handlers for development, and the auto-update handlers for the live environment, once you have an xxm project that is stable, you can make a 'skip the handler' build using xxmConv.exe and one of the alternative templates from the conv\proto_* folders. These combine xxm source with the generated source of the xxm project into a dedicated dll or exe.