I first started developing Windows Phone applications by just hacking around. I didn't read any books or watch any videos. I just started writing code.
After becoming more serious about Windows Phone development I started digging into articles, books and other resources. Here are some great shortcuts I learned along the way, all I wish I would have known about sooner.
My Favorite Hotkeys
PAUSE/BREAK - Enable Hardware Keyboard
I wish I knew about this sooner. Clicking to type on the emulator is very painful if you want to type more than just a few characters. Just select the textbox and hit the PAUSE/BREAK key on your keyboard and start typing.
ESC OR F1 - Back Button on Phone
Pick your poison, both accomplish the same goal. Navigating between pages in your application is a very common thing to do. Save some additional time by using the keyboard instead of having to drag the mouse down to the back button.
F2 - Windows Button
This will save a lot of time during the testing of your application. Testing the activated and deactivated events of your application is much faster with this hotkey.
Additional Resources
These are just the shortcuts I use most often. Depending on the type of application you are developing you may have a set you use more than this. For additional checkout MSDN's documentation on Windows Phone Emulator Shortcuts.