I've been playing a bunch of Rallisport Challenge 2 since I got back from Tech·Ed. I haven't seen many of my Xbox friends online when I've been online, but I just setup the MSN Messenger / Xbox Live integration. Cool idea, but none of my friends are online right now, so there's not really anything to see, yet.
On a similar note, Cory (who provided my Xbox Live Flair) has an app called Xbox Friends where you can see your friends playing habits in addition to their current status. For those who don't have it, I can save you the bother of installing it to find out my habits - all Rallisport Challenge 2 all the time!
Update - I also signed up for Xbox Live Alerts as well. This isn't as useful as there are a wide variety of alerts types and I have to have one delivery profile for all of them. I want to be notified in email if there is new downloads, but on MSN Messenger if a friend logs in. This appears to be an MSN Alerts wide issue - alert settings are per alert provider, not per alert type. Not very useful to be notified in email that a friend was online...yesterday.