At Microsoft's TechEd Middle East conference, the company has showed off a game that can leap between Windows 7, Windows Phone 7 and on the Xbox 360 without losing your progress.
Developed in Visual studio, the 2D platformer shares 90% of its code between the different platforms but the control mechanism is different on different devices. Could be useful if you're nearly at the end of a tricky run of levels, but you need to dash out and want to finish things off on the bus.
However, all it's really doing is saving a small file in the cloud that details the level you're on, your position in that level, and perhaps some extra data about how many points and lives you've got. Making the game read that file across a number of platforms is a relatively trivial task, so long as you code the game to do so from the ground up.
The size of the save file that gets uploaded to the cloud will depend largely on the complexity of the game - 3D RPGs with large inventories and skill systems may require a bit more work. Plus, there's a big question on whether games that require a permanent connection to a server are viable. Current evidence suggests not.