The most recent release of WPF is Release Candidate (RC) 1 - released on the 1st of September 2006. This release is a great milestone for the WPF team, and an important step towards the final release at the end of this year/early next year.
To begin developing WPF applications for Windows Server 2003 or Windows XP SP2 you need to download the .NET Framework 3.0 run-time components RC1 (WPF is a part of a larger package of new components for windows called .NET 3.0). The .NET 3.0 runtime components are already installed with Windows Vista RC1. The tighter integration with Vista and WPF means that the RC1 release of the .NET Framework 3.0 runtime components are not compatible with earlier versions of Vista such as beta 2 and build 5472.5.
The run-time components can be installed in two ways, either by downloading a small startup program (around 2.5 MB) that then downloads what is required for your install. You can download the setup program .NET Framework 3.0 run-time components from here. You can also download the whole thing for x86 or x64 (both are around 45 MB). The installers for the .NET Framework 3.0 run-time components can be found here.
The next thing you need to install when developing WPF applications is the Windows Vista SDK. The SDK is available as either a DVD ISO image (around 1.1 GB in size) or as an Express Web Download that allows you to select and download only the components you require. The samples and documentation for WPF in the SDK make it an invaluable resource for WPF development.
If you wish to build WPF applications from within Visual Studio 2005 you should download the Visual Studio Extensions for .NET 3.0 RC1 (3.6 MB). This provides project templates for creating WPF applications, intellisense for editing Xaml files and a UI designer code-named "cider".
Although it is not essential you may also wish to install the Expression Interactive Designer September CTP (formerly known as Sparkle, and only 7MB in size) is a designer-focused tool for creating WPF user interfaces. It has the best "design-time" experience of the two Microsoft WPF development tools.
You may also want to install the Expression Graphic Designer September CTP (formerly known as Acrylic, and 118 MB in size), which allows you to create images and export them as Xaml for inclusion in your WPF applications.