Update (January 16th, 2007): Not only does this apparently only work on the emulator, you would do well to stay away from Managed DirectX in general because common drivers, such as those on the Willcom W-Zero3 - do not support rendering in landscape mode (I wonder which devices DO support those features). After messing with this collectively for weeks we eventually went with the obsolete GAPI. The code here will probably not work for you.

For some reason, elementary DirectX operations are not very well documented in the .NET Compact Framework documentation; I kept running into InvalidCallExceptions for no aparent reason, and couldn't figure out the "simple" way to lock surfaces from the documentation (it's worth noting that I was only interested in basic 2D functionality).

Basically you just need the right set of flags and the right order of operations. Here's the code I used and that worked for me (even under the considerably buggy emulator). To create the device, use the following parameters:

PresentParameters p = new PresentParameters();
p.SwapEffect = SwapEffect.Discard;
p.Windowed = true;
p.EnableAutoDepthStencil = false;
p.PresentFlag |= PresentFlag.LockableBackBuffer;
p.MultiSample = MultiSampleType.None;
m_device = new Device( 0, DeviceType.Default, this, CreateFlags.None, p );

To draw on the backbuffer, you can use the following code:

m_device.BeginScene();

using ( Surface s = m_device.GetBackBuffer( 0, BackBufferType.Mono ) )
{
    int pitch;
    using ( GraphicsStream gs = s.LockRectangle( this.ClientRectangle, LockFlags.None, out pitch ) )
    {
        // Your code goes here...
    }   
    s.UnlockRectangle();
}

m_device.EndScene();
m_device.Present();

I hope this helps someone avoid a couple hours of frustration.