There is a good presentation on Google Video called How To Break Web Software - A look at security vulnerabilities in web software given by Mike Andrews to Google staff. Mike's book also happens to be called How to break web software.

I really liked the session hi-jacking part of the talk, he showed a tool that visualizes the entropy (or randomness) of your session id's. An attacker can then look for weaknesses in the algorithm to guess session id's.

He also does a good job explaining why you should be concerned about XSS.